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Citations for "Implications of security market data for models of dynamic economies"

by Lars Peter Hansen & Ravi Jagannathan

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  1. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, Springer, vol. 4(2), pages 155-188, May.
  2. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, Springer, vol. 74(2), pages 183-217, February.
  3. Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
  4. Orazio P. Attanasio & Monica Paiella, 2008. "Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy 1_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  5. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2007. "A generalized volatility bound for dynamic economies," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(8), pages 2269-2290, November.
  6. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 96-9, New York University, Leonard N. Stern School of Business-.
  7. Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011. "Risk Aversion in the Large and in the Small," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2011/12, Department of Business and Management Science, Norwegian School of Economics.
  8. Steven J. Davis & Felix Kubler & Paul Willen, 2006. "Borrowing Costs and the Demand for Equity over the Life Cycle," The Review of Economics and Statistics, MIT Press, vol. 88(2), pages 348-362, May.
  9. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005, Society for Computational Economics 47, Society for Computational Economics.
  10. Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 33(3), pages 259-274, November.
  11. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc.
  12. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
  13. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports, Federal Reserve Bank of New York 265, Federal Reserve Bank of New York.
  14. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.
  15. Antoine Bommier & François Le Grand, 2013. "A Robust Approach to Risk Aversion," CER-ETH Economics working paper series 13/172, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  16. Wolfgang Drobetz & Patrick Wegmann, 2002. "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 215-239, September.
  17. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, Springer, vol. 3(2), pages 193-212, March.
  18. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  19. 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.
  20. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  21. Matos, Joao Amaro de & Lacerda, Ana, 2006. "Dry Markets and Statistical Arbitrage Bounds for European Derivatives," FEUNL Working Paper Series wp479, Universidade Nova de Lisboa, Faculdade de Economia.
  22. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
  23. Charlotte Christiansen & Juanna Schröter Joensen, 2006. "The Risk-Return Trade-Off in Human Capital Investment," Economics Working Papers, School of Economics and Management, University of Aarhus 2006-02, School of Economics and Management, University of Aarhus.
  24. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
  25. Hong Lan & Alexander Meyer-Gohde, 2013. "Decomposing Risk in Dynamic Stochastic General Equilibrium," SFB 649 Discussion Papers SFB649DP2013-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  26. Todd Sarver, 2012. "Optimal Reference Points and Anticipation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1566, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  27. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
  28. Bianconi, Marcelo, 2003. "Private information, growth, and asset prices with stochastic disturbances," International Review of Economics & Finance, Elsevier, Elsevier, vol. 12(1), pages 1-24.
  29. David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012. "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, INFORMS, vol. 58(2), pages 320-335, February.
  30. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3695-3717, November.
  31. Ajello, Andrea, 2010. "Financial intermediation, investment dynamics and business cycle fluctuations," MPRA Paper 32447, University Library of Munich, Germany, revised Mar 2011.
  32. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  33. Galvani, Valentina & Plourde, André, 2010. "Portfolio diversification in energy markets," Energy Economics, Elsevier, Elsevier, vol. 32(2), pages 257-268, March.
  34. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Sep, pages 55-81.
  35. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers, CIRANO 2001s-12, CIRANO.
  36. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance, EconWPA 0504008, EconWPA.
  37. Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, American Economic Association, vol. 97(1), pages 89-117, March.
  38. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(6), pages 871-890, December.
  39. Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, Elsevier, vol. 102(1), pages 13-16, January.
  40. Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles 5027955, Harvard Kennedy School of Government.
  41. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI wp2008_0807, CEMFI.
  42. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, Elsevier, vol. 68(2), pages 367-397, August.
  43. Pijoan-Mas, Josep, 2006. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5602, C.E.P.R. Discussion Papers.
  44. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  45. Galvani, Valentina & Plourde, Andre, 2009. "Spanning with Zero-Price Investment Assets," Working Papers 2009-5, University of Alberta, Department of Economics.
  46. Patrick F. Rowland & Linda L. Tesar, 2004. "Multinationals and the Gains from International Diversification," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 789-826, October.
  47. Orazio Attanasio & James Banks & Sarah Tanner, 1998. "Asset holding and consumption volatility," IFS Working Papers, Institute for Fiscal Studies W98/08, Institute for Fiscal Studies.
  48. Jaroslav Borovicka & Lars Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series, Federal Reserve Bank of Chicago WP-2012-01, Federal Reserve Bank of Chicago.
  49. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers, Department of Economics, University of York 02/03, Department of Economics, University of York.
  50. Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP46/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  51. Wayne E. Ferson & George M. Constantinides, 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc.
  52. 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.
  53. Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
  54. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, Elsevier, vol. 62(3), pages 176-194, May.
  55. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001. "The Declining U.S. Equity Premium," NBER Working Papers 8172, National Bureau of Economic Research, Inc.
  56. Antulio N. Bomfim, 2001. "Optimal portfolio allocation in a world without Treasury securities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-11, Board of Governors of the Federal Reserve System (U.S.).
  57. Phillip A. Braun & George M. Constantinides & Wayne E. Ferson, 1992. "Time Nonseparability in Aggregate Consumption: International Evidence," NBER Working Papers 4104, National Bureau of Economic Research, Inc.
  58. Lettau, Martin, 1998. "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1795, C.E.P.R. Discussion Papers.
  59. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, Oxford University Press, edition 3, number 9780199574742, October.
  60. Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(4), pages 712-727, October.
  61. Zhang Qiang, 2006. "The Spirit of Capitalism and Asset Pricing: An Empirical Investigation," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 6(3), pages 1-25, November.
  62. Robert E. Hall, 2003. "Corporate Earnings Track the Competitive Benchmark," NBER Working Papers 10150, National Bureau of Economic Research, Inc.
  63. Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI wp2004_0410, CEMFI.
  64. Oleg Bondarenko & Iñaki Longarela, 2009. "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, Springer, vol. 12(2), pages 81-107, July.
  65. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  66. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(3), pages 511-540, March.
  67. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 455-473, June.
  68. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão, Department of Economics PUC-Rio (Brazil) 284, Department of Economics PUC-Rio (Brazil).
  69. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(3-4), pages 251-282, August.
  70. Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(1), pages 1-21, January.
  71. Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007. "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers 0711, Vanderbilt University Department of Economics.
  72. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper, Tilburg University, Center for Economic Research 1999-84, Tilburg University, Center for Economic Research.
  73. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
  74. Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1936, Cowles Foundation for Research in Economics, Yale University.
  75. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series, Institute for Financial Research 8, Institute for Financial Research.
  76. Boldrin, Michele & Christiano, Lawrence J. & Fisher, Jonas D.M., 1997. "Habit Persistence And Asset Returns In An Exchange Economy," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(02), pages 312-332, June.
  77. Raymond Kan & Cesare Robotti, 2008. "The exact distribution of the Hansen-Jagannathan bound," Working Paper, Federal Reserve Bank of Atlanta 2008-09, Federal Reserve Bank of Atlanta.
  78. Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers, Yale School of Management ysm371, Yale School of Management, revised 01 Jul 2003.
  79. David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc.
  80. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in a News Driven Real Business Cycle Model," 2010 Meeting Papers, Society for Economic Dynamics 546, Society for Economic Dynamics.
  81. Mark, Nelson C & Wu, Yangru, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
  82. P N Smith & S Sorensen & M R Wickens, . "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers, Department of Economics, University of York 03/14, Department of Economics, University of York.
  83. Liao, Yuan & Simoni, Anna, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," MPRA Paper 43262, University Library of Munich, Germany.
  84. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org.
  85. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 2003. "Currency hedging for international stock portfolios: The usefulness of mean variance analysis," Open Access publications from Tilburg University urn:nbn:nl:ui:12-91684, Tilburg University.
  86. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(1), pages 178-212, October.
  87. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers, Becker Friedman Institute for Research In Economics 2012-008, Becker Friedman Institute for Research In Economics.
  88. Robert G. Chambers & John Quiggin, 2005. "Cost Minimization and Asset Pricing," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland WP3R05, Risk and Sustainable Management Group, University of Queensland.
  89. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9525, Universite de Montreal, Departement de sciences economiques.
  90. Björk, Tomas & Slinko, Irina, 2004. "Towards a General Theory of Good Deal Bounds," Working Paper Series in Economics and Finance 595, Stockholm School of Economics.
  91. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1992. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," NBER Technical Working Papers 0124, National Bureau of Economic Research, Inc.
  92. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
  93. 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, Elsevier, vol. 16(1), pages 81-112, February.
  94. M. Hashem Pesaran & Simon M. Potter, 1993. "Equilibrium Asset Pricing Models and Predictability of Excess Returns," UCLA Economics Working Papers, UCLA Department of Economics 694, UCLA Department of Economics.
  95. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  96. Christopher J. Neely, 1995. "Testing asset pricing models with Euler equations: it's worse than you think," Working Papers, Federal Reserve Bank of St. Louis 1995-018, Federal Reserve Bank of St. Louis.
  97. Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995. "Econometric Evaluation of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-74.
  98. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 9(3-4), pages 291-316, November.
  99. Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
  100. Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(2), pages 133-160, January.
  101. Kent Daniel & Sheridan Titman, 2006. "Market Reactions to Tangible and Intangible Information," Journal of Finance, American Finance Association, American Finance Association, vol. 61(4), pages 1605-1643, 08.
  102. Ravi Bansal & Amir Yaron, 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," Journal of Finance, American Finance Association, American Finance Association, vol. 59(4), pages 1481-1509, 08.
  103. Corbae, Dean & Marimon, Ramon, 2011. "Introduction to Incompleteness and Uncertainty in Economics," Journal of Economic Theory, Elsevier, Elsevier, vol. 146(3), pages 775-784, May.
  104. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005, Society for Computational Economics 216, Society for Computational Economics.
  105. Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(1), pages 61-72.
  106. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
  107. Matthew O. Jackson & James Peck, 1993. "Costly Information Acquisition," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1087, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  108. Nina, Boyarchenko & Mario, Cerrato & John, Crosby & Stewart, Hodges, 2013. "No Good Deals - No Bad Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2013-20, Scottish Institute for Research in Economics (SIRE).
  109. Tai, Chu-Sheng, 2000. "Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 10(3-4), pages 397-420, December.
  110. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," Working Paper, Federal Reserve Bank of Atlanta 2003-6, Federal Reserve Bank of Atlanta.
  111. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4501, C.E.P.R. Discussion Papers.
  112. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, Springer, vol. 10(1), pages 1-38, January.
  113. Bruce N. Lehmann, 1991. "Asset Pricing and Intrinsic Values: A Review Essay," NBER Working Papers 3873, National Bureau of Economic Research, Inc.
  114. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  115. 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.
  116. Robert G. Chambers & John Quiggin, . "Narrowing the No-Arbitrage Bounds," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland WPR03_3, Risk and Sustainable Management Group, University of Queensland.
  117. Rose, Andrew-K, 2004. "Equity Integration in Japan: An Application of a New Method," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 1-17, May.
  118. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 6(1-2), pages 213-224, May.
  119. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 191-208.
  120. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(3), pages 355-382, June.
  121. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers, Becker Friedman Institute for Research In Economics 2014-06, Becker Friedman Institute for Research In Economics.
  122. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces9824, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  123. Claessens, Stijn, 1993. "Equity portfolio investment in developing countries : a literature survey," Policy Research Working Paper Series 1089, The World Bank.
  124. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  125. Fernando Alvarez & Andrew Atkeson & Patrick Kehoe, 2007. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," Working Papers, Laboratory for Macroeconomic Analysis CAS_RN_2007_6, Laboratory for Macroeconomic Analysis.
  126. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," Working Paper, Federal Reserve Bank of Atlanta 2001-24, Federal Reserve Bank of Atlanta.
  127. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2006-042, Boston University - Department of Economics.
  128. Martin Bodenstein, 2008. "International Asset Markets and Real Exchange Rate Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 688-705, July.
  129. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  130. Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008. "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, Springer, vol. 35(3), pages 475-495, November.
  131. Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 537-572, December.
  132. Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1678, C.E.P.R. Discussion Papers.
  133. Ignacio Palacios-Huerta, 2001. "The Human Capital of Stockholders and the International Diversification Puzzle," Working Papers 2001-13, Brown University, Department of Economics.
  134. 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.
  135. A. Craig Burnside & Jeremy J. Graveline, 2012. "On the Asset Market View of Exchange Rates," NBER Working Papers 18646, National Bureau of Economic Research, Inc.
  136. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, Elsevier, vol. 64(3), pages 341-372, June.
  137. Nieto, Belén & Rubio, Gonzalo, 2011. "The volatility of consumption-based stochastic discount factors and economic cycles," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(9), pages 2197-2216, September.
  138. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Working Papers, Bank of Canada 05-2, Bank of Canada.
  139. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 50(2), pages 445-79, June.
  140. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
  141. Roon, F.A. de & Nijman, T.E., 1998. "Testing for mean-variance spanning: A survey," Discussion Paper, Tilburg University, Center for Economic Research 1998-132, Tilburg University, Center for Economic Research.
  142. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006, Society for Computational Economics 56, Society for Computational Economics.
  143. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 17(3), pages 421-444, September.
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