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Citations for "Expected Returns and Expected Dividend Growth"

by Martin Lettau & Sydney Ludvigson

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  1. Andrew Vivian, 2005. "The Equity Premium: 101 years of Empirical Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 92, Money Macro and Finance Research Group.
  2. Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers, Society for Economic Dynamics 644, Society for Economic Dynamics.
  3. Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
  4. Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, Elsevier, vol. 5(1), pages 21-31, March.
  5. Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
  6. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm 0711, Centre for Research into Industry, Enterprise, Finance and the Firm.
  7. Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
  8. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  9. Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers, Society for Economic Dynamics 302, Society for Economic Dynamics.
  10. 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.
  11. Møller, Stig Vinther, 2008. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  12. Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2005. "Predictability and Habit Persistence," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 339, Institut d'Économie Industrielle (IDEI), Toulouse.
  13. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(1), pages 90-113, July.
  14. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
  15. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
  16. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers, Society for Economic Dynamics 136b, Society for Economic Dynamics.
  17. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
  18. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, Elsevier, vol. 90(2), pages 205-212, February.
  19. Thomas Nitschka, 2007. "Cashflow news, the value premium and an asset pricing view on European stock market integration," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich 339, Institute for Empirical Research in Economics - University of Zurich.
  20. Carlo A. Favero & Arie E. Gozluklu & Andrea Tamoni, 2010. "Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," Working Papers 360, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  21. Hoffmann, Mathias, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," Technical Reports 2006,14, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  22. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 552-565, September.
  23. Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt1s25177n, Anderson Graduate School of Management, UCLA.
  24. Engsted, Tom & Pedersen, Thomas Q., 2010. "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 585-605, September.
  25. Wang, Zitian & Wang, Lili & Tan, Shaohua, 2008. "Emergent and spontaneous computation of factor relationships from a large factor set," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(12), pages 3939-3959, December.
  26. Jank, Stephan, 2011. "Mutual fund flows, expected returns, and the real economy," CFR Working Papers 11-04, University of Cologne, Centre for Financial Research (CFR).
  27. Lubos Pastor & Robert F. Stambaugh, 2007. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 12814, National Bureau of Economic Research, Inc.
  28. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(3), pages 595-624, September.
  29. :Carol A. Favero & Arie E. Gozluklu & Andrea Tamoni, 2009. "Long-Run Factors and Fluctuations in Dividend/Price," Working Papers, Warwick Business School, Finance Group wpn09-04, Warwick Business School, Finance Group.
  30. Benjamin R. Auer, 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(5), pages 518-544, September.
  31. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
  32. Sadka, Gil & Sadka, Ronnie, 2009. "Predictability and the earnings-returns relation," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(1), pages 87-106, October.
  33. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3qn115m4, Anderson Graduate School of Management, UCLA.
  34. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  35. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  36. Nan-Ting Kuo, 2013. "Dividend tax signaling and the pricing of future earnings: a case of taxable stock dividends," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 40(3), pages 539-570, April.
  37. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers, Society for Economic Dynamics 53, Society for Economic Dynamics.
  38. Darakhshan Younis & Attiya Yasmin Javid, 2014. "Market Imperfections and Dividend Policy Decisions of Manufacturing Sector of Pakistan," PIDE-Working Papers, Pakistan Institute of Development Economics 2014:99, Pakistan Institute of Development Economics.
  39. Adrian Buss & Bernard Dumas, 2013. "Financial-market Equilibrium with Friction," NBER Working Papers 19155, National Bureau of Economic Research, Inc.
  40. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 140, Money Macro and Finance Research Group.
  41. Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
  42. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
  43. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 87, Money Macro and Finance Research Group.
  44. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  45. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 269-280, February.
  46. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, School of Economics and Management, University of Aarhus.
  47. Olga Klinkowska & Angelica Gonzalez & Abhay Abhyankar, 2012. "Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information," 2012 Meeting Papers, Society for Economic Dynamics 56, Society for Economic Dynamics.
  48. Romeo Tedongap, 2007. "Consumption Volatility and the Cross-Section of Stock Returns," 2007 Meeting Papers, Society for Economic Dynamics 662, Society for Economic Dynamics.
  49. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(1), pages 128-151, April.
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  51. Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers, Bank of England 310, Bank of England.
  52. Vázquez Pérez, Jesús & Regúlez Castillo, Marta & Londoño Yarce, Juan Miguel, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 2008-09, University of the Basque Country - Department of Foundations of Economic Analysis II.
  53. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, School of Economics and Management, University of Aarhus.
  54. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(3), pages 313-331, June.
  55. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers, Copenhagen Business School, Department of Finance 2002-8, Copenhagen Business School, Department of Finance.
  56. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
  57. Anne Vila Wetherilt & Simon Wells, 2004. "Long-horizon equity return predictability: some new evidence for the United Kingdom," Bank of England working papers, Bank of England 244, Bank of England.
  58. Pagel, Michaela, 2012. "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper 47933, University Library of Munich, Germany.
  59. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, Elsevier, vol. 22(1), pages 284-304.
  60. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 475-495, June.