1. Orazio P. Attanasio & Monica Paiella, 2008. "Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory," Discussion Papers 1_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
   Other versions:
   • Orazio P. Attanasio & Monica Paiella, 2006. "Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory," NBER Working Papers 12412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Orazio P. Attanasio & Monica Paiella, 2007. "Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory," Temi di discussione (Economic working papers) 620, Bank of Italy, Economic Research Department. [Downloadable!]
2. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, 08. [Downloadable!] (restricted)
3. Andreas Bossard, 1989. "Das konsumgestützte Kapitalmarktmodell: Empirische Ergebnisse für die Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(II), pages 135-156, June. [Downloadable!]
4. Robert B. Barsky & Miles S. Kimball & F. Thomas Juster & Matthew D. Shapiro, 1997. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey," NBER Working Papers 5213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
6. Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
7. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, EconWPA, revised 16 Nov 2001. [Downloadable!]
   Other versions:
   • Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics. [Downloadable!]
8. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
9. Apte, Prakesh & Sercu, Piet & Uppal, Raman, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
10. Yong-Ho Baek, 1989. "The Measurement Of Change In Consumption," International Economic Journal, Korean International Economic Association, vol. 3(1), pages 49-54, April. [Downloadable!] (restricted)
11. Christopher J. Green & Victor Murinde, 2003. "Flow of funds: implications for research on financial sector development and the real economy," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(8), pages 1015-1036. [Downloadable!]
12. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Min Fan, 2006. "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, vol. 2(3), pages 259-285, July. [Downloadable!] (restricted)
14. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption-based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December. [Downloadable!] (restricted)
15. Fabio Panetta & Roberto Violi, 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers) 353, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
    • Panetta, F. & Violi, R., 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data Over the Last Century," Papers 353, Banca Italia - Servizio di Studi.
16. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Kandel, S. & McCulloch, R. & Stambaugh, R.F., 1991. "Bayesian Inference and Portfolio Efficiency," Weiss Center Working Papers 8-91, Wharton School - Weiss Center for International Financial Research.
    • Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(1), pages 1-53. [Downloadable!] (restricted)
17. Albuquerque, Rui & Wang, Neng, 2005. "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers 4955, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    • Rui Albuquerque & Neng Wang, 2007. "Agency Conflicts, Investment, and Asset Pricing," NBER Working Papers 13251, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics. [Downloadable!]
    • Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, 02. [Downloadable!] (restricted)
18. Claessens, Stijn, 1988. "The optimal currency composition of external debt," Policy Research Working Paper Series 14, The World Bank. [Downloadable!]
19. Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series WP-98-18, Federal Reserve Bank of Chicago. [Downloadable!]
20. Isabelle Bajeux, 1989. "Gestion de portefeuille dans un modéle binomial," Annales d'Economie et de Statistique, ADRES, issue 13, pages 02, Janvier-M. [Downloadable!]
21. David F. Bradford, 1993. "Market Value Vs. Financial Accounting Measures of National Saving," NBER Working Papers 2906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Bradford, D.F., 1989. "Market Value Us. Financial Accounting Measures Of National Saving," Papers 34, Princeton, Woodrow Wilson School - Discussion Paper.
22. Constantin Mellios, 1998. "Un modèle d'équilibre général avec volatilité stochastique des taux d'intérêt et information incomplète," Annales d'Economie et de Statistique, ADRES, issue 51, pages 05, Juillet-S. [Downloadable!]
23. Lars Peter Hansen & Jose Scheinkman, 2006. "Long Term Risk: An Operator Approach," NBER Working Papers 12650, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics. [Downloadable!]
    • Lars Peter Hansen & José A. Scheinkman, 2009. "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, vol. 77(1), pages 177-234, 01. [Downloadable!] (restricted)
24. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics. [Downloadable!]
    Other versions:
    • Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October. [Downloadable!] (restricted)
25. Michael Brennan & Ashley Wang & Yihong Xia, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1011, Anderson Graduate School of Management, UCLA. [Downloadable!]
26. Min-Hsien Chiang & Chihwa Kao, 2005. "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model," Economics Bulletin, Economics Bulletin, vol. 3(10), pages 1-13. [Downloadable!]
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    • Min-Hsien Chiang & Chihwa Kao, 2002. "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models," Computing in Economics and Finance 2002 60, Society for Computational Economics. [Downloadable!]
27. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642. [Downloadable!]
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    • Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis. [Downloadable!]
28. John Y. Campbell & Robert J. Shiller, 1989. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation, Yale University. [Downloadable!]
    • John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(3), pages 195-228. [Downloadable!] (restricted)
29. Anderson, Jock R., 1983. "On Risk Deductions In Public Project Appraisal," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 27(03), December. [Downloadable!]
30. Stefano G. Athanasoulis & Robert J. Shiller, 1999. "World Income Components: Measuring and Exploiting Risk-Sharing Opportunities," Cowles Foundation Discussion Papers 1239, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Stefano G. Athanasoulis & Robert J. Shiller, 2001. "World Income Components: Measuring and Exploiting Risk-Sharing Opportunities," American Economic Review, American Economic Association, vol. 91(4), pages 1031-1054, September. [Downloadable!] (restricted)
31. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia. [Downloadable!]
32. Henriksson, Roy. & Lessard, Donald R., 1982. "The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability," Working papers 1337-82., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
33. Chris Shannon & William R. Zame, 1999. "Quadratic Concavity and the Determinancy of Equilibrium," UCLA Economics Working Papers 791, UCLA Department of Economics. [Downloadable!]
34. Juan Ignacio Pena & Rosa Rodriguez, 2006. "On The Economic Link Between Asset Prices And Real Activity," Business Economics Working Papers wb063209, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
35. Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
36. Ciprian Necula, 2008. "Asset Pricing in a Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series 24, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
37. Ross Levine, 1986. "An international arbitrage pricing model with PPP deviations," International Finance Discussion Papers 294, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    • Levine, Ross, 1989. "An International Arbitrage Pricing Model with PPP Deviations," Economic Inquiry, Oxford University Press, vol. 27(4), pages 587-99, October.
38. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    • Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August. [Downloadable!] (restricted)
39. A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "GMM and present value tests of the C-CAPM under Transactions Costs: Evidence from the UK stock market," Public Policy Discussion Papers 03-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    • A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "GMM and present value tests of the C-CAPM under Transactions Costs: Evidence from the UK stock market," Economics and Finance Discussion Papers 03-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
40. Benjamin M. Friedman & Kenneth N. Kuttner, 1988. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," NBER Working Papers 2694, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 566-98, October. [Downloadable!] (restricted)
41. Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
42. Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March. [Downloadable!]
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    • Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Documents de Travail 155, Banque de France. [Downloadable!]
    • Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics. [Downloadable!]
    • Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics. [Downloadable!]
43. Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(5), pages 2097-2137, September. [Downloadable!] (restricted)
44. Raphaël Espinoza & Charles. Goodhart & Dimitrios Tsomocos, 2009. "State prices, liquidity, and default," Economic Theory, Springer, vol. 39(2), pages 177-194, May. [Downloadable!] (restricted)
45. Robert E. Hall, 1991. "Substitution over Time in Work and Consumption," NBER Working Papers 2789, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
46. Robert C. Merton, 1991. "Optimal Investment Strategies for University Endowment Funds," NBER Working Papers 3820, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Robert C. Merton, 1993. "Optimal Investment Strategies for University Endowment Funds," NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242 National Bureau of Economic Research, Inc. [Downloadable!]
47. Barot, Bharat & Takala, Kari, 1998. "House Prices and Inflation: A Cointegration Analysis for Finland and Sweden," Research Discussion Papers 12/1998, Bank of Finland. [Downloadable!]
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    • Barot, B. & Takala, K., 1998. "House Prices and Inflation: A Cointegration Analysis for Finland and Sweden," Bank of Finland - Studies in Economics and Finance 12/98, Bank of Finland. Research Department..
48. Feng Dai & Lin Liang, 2005. "The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management," Econometrics 0508001, EconWPA. [Downloadable!]
49. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April. [Downloadable!]
50. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Ferson, Wayne E. & Harvey, Campbell R., 1994. "Sources of risk and expected returns in global equity markets," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 775-803, September. [Downloadable!] (restricted)
51. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    • Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," Journal of Business, University of Chicago Press, vol. 71(3), pages 319-47, July. [Downloadable!] (restricted)
52. Jérôme B. Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO. [Downloadable!]
53. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
54. Benjamin M. Friedman, 1987. "Implications of the U.S. Net Capital Inflow," NBER Working Papers 1804, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
55. Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
56. Sharpe, William F., 1990. "Capital Asset Prices With and Without Negative Holding," Nobel Prize in Economics documents 1990-3, Nobel Prize Committee. [Downloadable!]
57. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics. [Downloadable!]
58. Marcello Pericoli & Massimo Sbracia, 2006. "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers) 586, Bank of Italy, Economic Research Department. [Downloadable!]
59. Felipe Zurita, 2004. "La Tasa de Descuento Revisitada," Documentos de Trabajo 261, Instituto de Economía. Pontificia Universidad Católica de Chile.. [Downloadable!]
60. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
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    • Cysne, Rubens Penha, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Economics Working Papers (Ensaios Economicos da EPGE) 586, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
61. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York. [Downloadable!]
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    • Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December. [Downloadable!] (restricted)
62. Elyès Jouini & Clotilde Napp, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Post-Print halshs-00176594_v1, HAL. [Downloadable!]
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    • Elyès Jouini & Clotilde Napp, 2003. "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Finance 0312001, EconWPA. [Downloadable!]
    • Clotilde Napp & Elyès Jouini, 2007. "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Post-Print halshs-00152348_v1, HAL. [Downloadable!]
    • Elyes Jouini & Clotilde Napp, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Review of Economic Studies, Blackwell Publishing, vol. 74(4), pages 1149-1174, October. [Downloadable!] (restricted)
63. Colin Simkin, 1998. "About Economic Inequality," Working Papers 9803, University of Sydney, Department of Economics. [Downloadable!]
64. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89. [Downloadable!]
65. Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2007. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series 2007fe01, Oxford Financial Research Centre. [Downloadable!]
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    • Raphael Espinoza & Dimitrios Tsomocos & Charles Goodhart, 2007. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," FMG Discussion Papers dp583, Financial Markets Group. [Downloadable!] (restricted)
    • Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2006. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series 2006fe15, Oxford Financial Research Centre. [Downloadable!]
66. Raphael A. Espinoza & Dimitrios P. Tsomocos, 2008. "Liquidity and Asset Prices," OFRC Working Papers Series 2008fe28, Oxford Financial Research Centre. [Downloadable!]
67. M. Marzo, 2001. "Monetary and Fiscal Policy Interactions: the Impact on the Term Structure of Interest Rates," Working Papers 409, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
68. M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz, 2009. "An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 285-313, September. [Downloadable!] (restricted)
69. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation, Yale University. [Downloadable!]
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    • Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter. [Downloadable!] (restricted)
70. Luigi Guiso & Monica Paiella, 2007. "Risk Aversion, Wealth, and Background Risk," Economics Working Papers ECO2007/47, European University Institute. [Downloadable!]
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    • Monica Paiella & Luigi Guiso, 2004. "Risk Aversion, Wealth and Background Risk," 2004 Meeting Papers 525, Society for Economic Dynamics. [Downloadable!]
    • Guiso, Luigi & Paiella, Monica, 2001. "Risk Aversion, Wealth and Background Risk," CEPR Discussion Papers 2728, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    • Luigi Guiso & Monica Paiella, 2003. "Risk Aversion, Wealth and Background Risk," Temi di discussione (Economic working papers) 483, Bank of Italy, Economic Research Department. [Downloadable!]
    • Luigi Guiso & Monica Paiella, 2008. "Risk Aversion, Wealth, and Background Risk," Journal of the European Economic Association, MIT Press, vol. 6(6), pages 1109-1150, December. [Downloadable!] (restricted)
71. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938 Elsevier. [Downloadable!] (restricted)
72. Feng Dai & Ling Liang, 2005. "The Advance in Partial Distribution: A New Mathematical Tool for Economic Management," EERI Research Paper Series EERI_RP_2005_04, Economics and Econometrics Research Institute (EERI). [Downloadable!]
73. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
74. Jonathan A. Parker & Christian Julliard, 2003. "Consumption Risk and Cross-Sectional Returns," NBER Working Papers 9538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
75. Chris Edmond & Pierre-Olivier Weill, 2009. "Aggregate Implications of Micro Asset Market Segmentation," NBER Working Papers 15254, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
76. Hanno Lustig, . "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics. [Downloadable!]
77. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
78. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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    • Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier. [Downloadable!] (restricted)
79. Joseph G. Haubrich & Robert G. King, 1984. "Banking and Insurance," NBER Working Papers 1312, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Haubrich, Joseph G. & King, Robert G., 1990. "Banking and insurance," Journal of Monetary Economics, Elsevier, vol. 26(3), pages 361-386, December. [Downloadable!] (restricted)
80. Jonathan A. Parker, 2003. "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, vol. 93(2), pages 376-382, May. [Downloadable!]
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    • Jonathan A. Parker, 2003. "Consumption Risk and Expected Stock Returns," NBER Working Papers 9548, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Jonathan A. Parker, 2003. "Consumption Risk And Expected Stock Returns," Working Papers 144, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.. [Downloadable!]
81. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia. [Downloadable!]
82. Stuart Hyde & Mohamed Sherif, 2005. "Don’t break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 289-296, April. [Downloadable!] (restricted)
83. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
84. Stephen S. Golub, 1990. "International Diversification of Social and Private Risk: The US and Japan," Cowles Foundation Discussion Papers 955, Cowles Foundation, Yale University. [Downloadable!]
85. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics. [Downloadable!]
86. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
87. Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
88. Miles S. Kimball & Claudia R. Sahm & Matthew D. Shapiro, 2007. "Imputing Risk Tolerance from Survey Responses," NBER Working Papers 13337, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Kimball, Miles S & Sahm, Claudia R & Shapiro, Matthew D, 2008. "Imputing Risk Tolerance From Survey Responses," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 1028-1038. [Downloadable!] (restricted)
89. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
90. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany. [Downloadable!]
91. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics. [Downloadable!]
92. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
93. Lars E.O. Svensson, 1988. "Portfolio Choice and Asset Pricing With Nontraded Assets," NBER Working Papers 2774, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Svensson, L.E.O., 1988. "Portfolio Choice And Asset Pricing With Nontraded Assets," Papers 417, Stockholm - International Economic Studies.
94. Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006. "Estimation of Default Probabilities with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
95. Lawrence H. Summers, 1984. "Observations on the Indexation of Old Age Pensions," NBER Working Papers 1023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Lawrence H. Summers, 1983. "Observations on the Indexation of Old Age Pensions," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 231-258 National Bureau of Economic Research, Inc. [Downloadable!]
96. Ciprian Necula, 2008. "A Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series 23, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
97. Robert J. Shiller, 2004. "Radical Financial Innovation," Cowles Foundation Discussion Papers 1461, Cowles Foundation, Yale University. [Downloadable!]
98. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer, vol. 29(3), pages 233-265, May. [Downloadable!] (restricted)
99. Alberto Giovannini, 1989. "Uncertainty and Liquidity," NBER Working Papers 2296, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
100. Kroner, Ken & Claessens, Stijn, 1989. "Improving the currency composition of external debt : applications in Indonesia and Turkey," Policy Research Working Paper Series 150, The World Bank. [Downloadable!]
101. Monica Paiella & Luigi Guiso, 2004. "The Role of Risk Aversion in Predicting Individual Behaviour," Econometric Society 2004 Latin American Meetings 222, Econometric Society. [Downloadable!]
     Other versions:
     • Luigi Guiso & Monica Paiella, 2005. "The Role Of Risk Aversion In Predicting Individual Behavior," Temi di discussione (Economic working papers) 546, Bank of Italy, Economic Research Department. [Downloadable!]
     • Guiso, Luigi & Paiella, Monica, 2004. "The Role of Risk Aversion in Predicting Individual Behaviours," CEPR Discussion Papers 4591, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
102. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
103. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April. [Downloadable!] (restricted)
104. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics. [Downloadable!]
105. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," Working Paper 2005-13, Federal Reserve Bank of Atlanta. [Downloadable!]
106. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO. [Downloadable!]
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     • Detemple, Jerome B. & Giannikos, Christos I., 1996. "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1451-1504, August. [Downloadable!] (restricted)
107. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier. [Downloadable!] (restricted)
108. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund. [Downloadable!]
109. Basak, Suleyman & Pavlova, Anna, 2003. "A Dynamic Model With Import Quota Constraints," Working papers 4230-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
110. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07. [Downloadable!] (restricted)
111. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO. [Downloadable!]
112. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
113. Francesco Menoncin, . "Risk management for an internationally diversified portfolio," Working Papers ubs0404, University of Brescia, Department of Economics. [Downloadable!]
     Other versions:
     • Menoncin, Francesco, 2005. "Risk Management for an Internationally Diversified Portfolio," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 58(1), pages 9-41.
114. Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," Les Cahiers de Recherche 828, HEC Paris. [Downloadable!]
     Other versions:
     • Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York. [Downloadable!]
     • Francesco FRANZONI & Tobias ADRIAN, . "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute. [Downloadable!]
     • Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September. [Downloadable!] (restricted)
115. Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
116. Feng Dai & Hui Liu & Ying Wang, 2005. "Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging," Econometrics 0507012, EconWPA. [Downloadable!]
     Other versions:
     • Feng Dai & Hui Liu & Ying Wang, 2005. "Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging," EERI Research Paper Series EERI_RP_2005_03, Economics and Econometrics Research Institute (EERI). [Downloadable!]
117. John Y. Campbell & Luis M. Viceira, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March. [Downloadable!] (restricted)
     Other versions:
     • John Y. CAMPBELL & Luis VICEIRA, 1998. "Who Should Buy Long-Term Bonds?," FAME Research Paper Series rp5, International Center for Financial Asset Management and Engineering. [Downloadable!]
     • John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research. [Downloadable!]
     • John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
118. Gurdip S. Bakshi & Zhiwu Chen, . "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University. [Downloadable!]
119. M. Marzo, 2001. "An Equilibrium Approach to the Term Structure of Interest rates with the Interaction between Monetary and Fiscal Policy," Working Papers 410, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
120. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group. [Downloadable!]
121. Krüger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
122. Doriana Ruffino & Jonathan Treussard, 2006. "A Study of Inaction in Investment Games via the Early Exercise Premium Representation," Boston University - Department of Economics - Working Papers Series WP2006-040, Boston University - Department of Economics. [Downloadable!]
123. Thomas Steinberger, 2005. "Pension benefit default risk and welfare effects of funding regulation," CSEF Working Papers 147, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
124. Stanley Fischer & Robert C. Merton, 1985. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January. [Downloadable!] (restricted)
125. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group. [Downloadable!]
     Other versions:
     • George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09. [Downloadable!] (restricted)
126. Susan Woodward, 1982. "The Liquidity Premium and the Solidity Premium," UCLA Economics Working Papers 263, UCLA Department of Economics. [Downloadable!]
127. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
128. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group. [Downloadable!]
129. Sanford J. Grossman & Robert J. Shiller, 1981. "The Determinants of the Variability of Stock Market Prices," NBER Working Papers 0564, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • S. Grossman & R. Shiller, . "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
     • Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, vol. 71(2), pages 222-27, May. [Downloadable!] (restricted)
130. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland. [Downloadable!]
131. Robert J. Barro, 1995. "Optimal Debt Management," NBER Working Papers 5327, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
132. Michael Brennan, 1997. "The Role of Learning in Dynamic Portfolio Decisions"," University of California at Los Angeles, Anderson Graduate School of Management 1122, Anderson Graduate School of Management, UCLA. [Downloadable!]
133. Chunsheng Zhou, 1996. "Forecasting long- and short-horizon stock returns in a unified framework," Finance and Economics Discussion Series 96-4, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
134. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 177-189, January. [Downloadable!] (restricted)
135. Cristino R. Arroyo, 1994. "On The Robustness Of Forward Market Efficiency In Consumption-Based Models Of Exchange Rates," International Economic Journal, Korean International Economic Association, vol. 8(2), pages 95-114, June. [Downloadable!] (restricted)
136. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta. [Downloadable!]
     Other versions:
     • Balduzzi, Pierluigi & Robotti, Cesare, 2008. "Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 354-368. [Downloadable!] (restricted)
137. Stefan JASCHKE, . "Exploratory Data Analysis of Short-Term Interest Rates," Sonderforschungsbereich 373 1994-47, Humboldt Universitaet Berlin.
138. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society. [Downloadable!]
139. Brandford Cornell, 1984. "Inflation Measurement and Tests of Asset Pricing Models," University of California at Los Angeles, Anderson Graduate School of Management 1222, Anderson Graduate School of Management, UCLA. [Downloadable!]
140. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January. [Downloadable!]
141. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross-Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, 02. [Downloadable!] (restricted)
142. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity Based Asset Pricing Model," Working papers 98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
143. Joon-Ho Hahm & Jinho Kim, 2003. "Cost-At-Risk And Benchmark Government Debt Portfolio In Korea," International Economic Journal, Korean International Economic Association, vol. 17(2), pages 79-103, June. [Downloadable!] (restricted)
144. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(3), pages 751-782.
145. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
146. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance. [Downloadable!]
147. Robert E. Cumby, 1987. "Consumption Risk and International Asset Returns: Some Empirical Evidence," NBER Working Papers 2383, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

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