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Citations for "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk"

by John Campbell & Jianping Mei

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  1. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.
  2. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 146(3), pages 573-589, September.
  3. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(5), pages 1255-1265.
  4. John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  5. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc.
  6. Eric Bahel & Christian Trudeau, 2014. "Stable lexicographic rules for shortest path games," Working Papers e07-46, Virginia Polytechnic Institute and State University, Department of Economics.
  7. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(6), pages 777-811, November.
  8. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer, Springer, vol. 24(4), pages 327-351, December.
  9. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, Elsevier, vol. 23(3), pages 349-368, September.
  10. Tom Engsted & Thomas Q. Pedersen, 2013. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers 2013-04, School of Economics and Management, University of Aarhus.
  11. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," Journal of Finance, American Finance Association, American Finance Association, vol. 62(1), pages 55-92, 02.
  12. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
  13. Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(1), pages 41-66, February.
  14. Hyde, Stuart J, 2007. "The response of industry stock returns to market, exchange rate and interest rate risks," MPRA Paper 9679, University Library of Munich, Germany.
  15. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
  16. Elton, Edwin J. & Gruber, Martin J. & Mei, Jianping, 1996. "Return generating process and the determinants of term premiums," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(7), pages 1251-1269, August.
  17. Cenesizoglu, Tolga, 2011. "Size, book-to-market ratio and macroeconomic news," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 248-270, March.
  18. John Ammer & Jianping Mei, 1995. "Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 502, Board of Governors of the Federal Reserve System (U.S.).
  19. John H. Boyd & Jian Hu & Ravi Jagannathan, 2005. "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 60(2), pages 649-672, 04.
  20. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
  21. Hamao, Y. & Mei, J., 1995. "Living with the "Enemy": An Analysis of Foreign Investment in the Japanese Equity Market," Papers 95-15, Columbia - Graduate School of Business.
  22. Rudolf F. Klein & K. Victor Chow, 2010. "Orthogonalized Equity Risk Premia and Systematic Risk Decomposition," Working Papers 10-05, Department of Economics, West Virginia University.
  23. Thorbecke, Willem & Chisholm, Geoff, 1995. "Nonfarm employment and the arbitrage pricing theory," Economics Letters, Elsevier, Elsevier, vol. 47(2), pages 193-198, February.
  24. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(2), pages 175-187.
  25. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  26. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, Elsevier, vol. 109(2), pages 195-237, August.