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Seasonality and Consumption-Based Asset Pricing

Citations

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Cited by:

  1. Yuming Li & Maosen Zhong, 2009. "International asset returns and exchange rates," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 263-285.
  2. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  3. Lauterbach, Beni & Ungar, Meyer, 1995. "Real vs. nominal stock return seasonalities: empirical evidence," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 133-147.
  4. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  5. Gomes, Fábio Augusto Reis & Ribeiro, Priscila Fernandes, 2015. "Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 108-123.
  6. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  7. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  8. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
  9. Raymond Kan & Cesare Robotti, 2008. "The exact distribution of the Hansen-Jagannathan bound," FRB Atlanta Working Paper 2008-09, Federal Reserve Bank of Atlanta.
  10. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
  11. Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
  12. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
  13. Hansen, Lars Peter & Jagannathan, Ravi, 1997. "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
  14. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
  15. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 249-298, November.
  16. Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
  17. Robert F. Whitelaw, 1997. "Time-Varying Sharpe Ratios and Market Timing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-074, New York University, Leonard N. Stern School of Business-.
  18. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
  19. Wonnho Choi, 2014. "Habit Formation and Risk-free Rate Puzzle," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 155-170, October.
  20. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  21. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
  22. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1994. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," Journal of Finance, American Finance Association, vol. 49(1), pages 123-152, March.
  23. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093, November.
  24. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
  25. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  26. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
  27. Rodríguez López, Rosa, 1996. "Modelos intertemporales de valoración de activos: análisis empírico para el caso español," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6415, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  28. Ferson, Wayne E. & Constantinides, George M., 1991. "Habit persistence and durability in aggregate consumption: Empirical tests," Journal of Financial Economics, Elsevier, vol. 29(2), pages 199-240, October.
  29. Wilson, Matthew S., 2020. "Disaggregation and the equity premium puzzle," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 1-18.
  30. Tu, Teng-Tsai, 1998. "An entropic approach to equity market integration and consumption-based capital asset pricing models," ISU General Staff Papers 1998010108000012895, Iowa State University, Department of Economics.
  31. Engsted, Tom, 2002. "Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-355, July.
  32. He, Hua & Modest, David M, 1995. "Market Frictions and Consumption-Based Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 103(1), pages 94-117, February.
  33. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
  34. Bakshi, Gurdip S. & Naka, Atsuyuki, 1997. "An empirical investigation of asset pricing models using Japanese stock market data," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 81-112, February.
  35. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  36. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  37. Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
  38. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
  39. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
  40. Kubota, Keiichi & Tokunaga, Toshifumi & Wada, Kenji, 2008. "Consumption behavior, asset returns, and risk aversion: Evidence from the Japanese household survey," Japan and the World Economy, Elsevier, vol. 20(1), pages 1-18, January.
  41. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  42. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
  43. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
  44. Zhi Da & Wei Yang & Hayong Yun, 2016. "Household Production and Asset Prices," Management Science, INFORMS, vol. 62(2), pages 387-409, February.
  45. Lucy F. Ackert & George Athanassakos, 2021. "Gamesmanship and Seasonality in U.S. Stock Returns," JRFM, MDPI, vol. 14(5), pages 1-11, May.
  46. Qiang Dai & Olesya V. Grishchenko, 2014. "An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
  47. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
  48. Zhang, Yuzhao, 2014. "Contrarian flows, consumption and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 101-111.
  49. Sangdai Ryoo, 2002. "Testing for Sunspot in the Foreign Exchange Market," International Economic Journal, Taylor & Francis Journals, vol. 16(3), pages 39-58.
  50. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  51. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
  52. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  53. Li, Yuming, 2001. "Expected Returns and Habit Persistence," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-899.
  54. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
  55. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
  56. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
  57. Robert Faff & Barry Oliver, 1998. "Consumption versus market betas of Australian industry portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 513-517.
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