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Citations for "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?"

by Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter

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  1. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
  2. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, School of Economics and Management, University of Aarhus.
  3. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers 0711, Centre for Research into Industry, Enterprise, Finance and the Firm.
  4. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-14, Board of Governors of the Federal Reserve System (U.S.).
  5. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
  6. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.
  7. van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012. "A meta-analysis of the equity premium," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 819-830.
  8. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  9. Marie Briere & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB, ULB -- Universite Libre de Bruxelles 09-047.RS, ULB -- Universite Libre de Bruxelles.
  10. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
  11. Walentin, Karl, 2007. "Earnings Inequality and the Equity Premium," Working Paper Series 215, Sveriges Riksbank (Central Bank of Sweden).
  12. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
  13. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  14. 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.
  15. Fabrizio Perri & Jonathan Heathcote, 2011. "Wealth and Volatility," 2011 Meeting Papers 1065, Society for Economic Dynamics.
  16. Lubos Pastor & Pietro Veronesi, 2004. "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers 10581, National Bureau of Economic Research, Inc.
  17. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-40, Board of Governors of the Federal Reserve System (U.S.).
  18. Ang, Andrew & Timmermann, Allan G, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
  19. Peter C.B. Phillips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Cowles Foundation Discussion Papers 1699, Cowles Foundation for Research in Economics, Yale University.
  20. John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
  21. Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers, Society for Economic Dynamics 236, Society for Economic Dynamics.
  22. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00565229, HAL.
  23. Sean D. Campbell, 2005. "Stock market volatility and the Great Moderation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-47, Board of Governors of the Federal Reserve System (U.S.).
  24. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  25. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers, Society for Economic Dynamics 75, Society for Economic Dynamics.
  26. Du, Du, 2011. "General equilibrium pricing of options with habit formation and event risks," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(2), pages 400-426, February.
  27. Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013. "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79860, Verein für Socialpolitik / German Economic Association.
  28. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
  29. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  30. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia.
  31. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008. "Crises and Hedge Fund Risk," Yale School of Management Working Papers, Yale School of Management amz2561, Yale School of Management, revised 01 Oct 2009.
  32. Brevik, Frode & d’Addona, Stefano, 2011. "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(06), pages 1419-1446, January.
  33. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
  34. Hara, Chiaki, 2009. "Heterogeneous Impatience in a Continuous-Time Model," PIE/CIS Discussion Paper 425, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  35. Nieto, Belén & Rubio, Gonzalo, 2011. "The volatility of consumption-based stochastic discount factors and economic cycles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2197-2216, September.
  36. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
  37. Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers, University of Brescia, Department of Economics ubs0603, University of Brescia, Department of Economics.
  38. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
  39. Stefano D'Addona & Christos Giannikos, 2011. "Asset Pricing And The Role Of Macroeconomic Volatility," Working Papers 0711, CREI Università degli Studi Roma Tre, revised 2011.
  40. Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
    • Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354 National Bureau of Economic Research, Inc.
  41. Andrea Vedolin, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
  42. Sanjay Banerjee & Parantap Basu, 2005. " Uninsured Risks, Loan Contracts and the Declining Equity Premium," CDMA Conference Paper Series 0502, Centre for Dynamic Macroeconomic Analysis.
  43. Peter Spencer, 2007. "Macro volatility in a model of the UK Gilt edged bond market," Money Macro and Finance (MMF) Research Group Conference 2006 73, Money Macro and Finance Research Group.
  44. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
  45. 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.
  46. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
  47. Nason James M. & Smith Gregor W, 2008. "Great Moderation(s) and US Interest Rates: Unconditional Evidence," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 8(1), pages 1-33, November.
  48. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  49. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
  50. Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers, Financial Markets Group dp609, Financial Markets Group.
  51. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers, Society for Economic Dynamics 29, Society for Economic Dynamics.
  52. 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.
  53. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers, Job Market Papers pch1244, Job Market Papers.
  54. Kero, Afroditi, 2013. "Banks’ risk taking, financial innovation and macroeconomic risk," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(2), pages 112-124.
  55. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
  56. Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
  57. Pancrazi, Roberto, 2013. "How Beneficial was the Great Moderation After All?," The Warwick Economics Research Paper Series (TWERPS) 1016, University of Warwick, Department of Economics.
  58. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.
  59. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(3), pages 168-186, May.
  60. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  61. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-52, Board of Governors of the Federal Reserve System (U.S.).
  62. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
  63. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  64. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
  65. Shapiro, Dmitry, 2009. "Evolution of heterogeneous beliefs and asset overvaluation," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 277-292, March.
  66. Hume, Michael & Sentance, Andrew, 2009. "The global credit boom: challenges for macroeconomics and policy," Discussion Papers, Monetary Policy Committee Unit, Bank of England 27, Monetary Policy Committee Unit, Bank of England.
  67. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer, Springer, vol. 42(3), pages 461-503, March.
  68. Brockman, Paul & Liebenberg, Ivonne & Schutte, Maria, 2010. "Comovement, information production, and the business cycle," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(1), pages 107-129, July.
  69. Lemke, Wolfgang & Werner, Thomas, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
  70. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  71. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
  72. Kenneth S. Rogoff, 2006. "Impact of globalization on monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 265-305.
  73. Mattana, Elena & Panetti, Ettore, 2012. "Bank Liquidity, Market Participation, and Economic Growth," MPRA Paper 43800, University Library of Munich, Germany, revised Nov 2012.
  74. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  75. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
  76. Brevik, Frode & d'Addona, Stefano, 2013. "Is Ignorance Bliss? The Cost Of Business-Cycle Uncertainty," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 17(04), pages 728-746, June.
  77. Mark Gertler, 2003. "Whither monetary and financial stability? : the implications of evolving policy regimes : commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 213-223.
  78. H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014. "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 4/14, Monash University, Department of Econometrics and Business Statistics.
  79. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(2), pages 523-536.
  80. Sarkar, Asani & Zhang, Lingjia, 2009. "Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(4), pages 613-631, September.
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