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Citations for "Expectations and Volatility of Consumption and Asset Returns"

by Kandel, Shmuel & Stambaugh, Robert F

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  1. Pesaran, M. Hashem & Timmermann, Allan, 2002. "Market timing and return prediction under model instability," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(5), pages 495-510, December.
  2. Paudyal, Krishna & Saldanha, Liesl, 1997. "Stock returns and volatility in two regime markets: International evidence," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 209-228.
  3. Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
  4. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997, Society for Computational Economics 175, Society for Computational Economics.
  5. Nelson C. Mark & Yangru Wu, 1996. "Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity," Working Papers, Ohio State University, Department of Economics 014, Ohio State University, Department of Economics.
  6. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1897-1919, October.
  7. Zemcik, Petr, 2001. "Mean reversion in asset returns and time non-separable preferences," International Review of Economics & Finance, Elsevier, Elsevier, vol. 10(3), pages 223-245, July.
  8. 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.
  9. John H Cochrane, 2003. "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive 618897000000000762, David K. Levine.
  10. Robert F. Whitelaw, 1997. "Time-Varying Sharpe Ratios and Market Timing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-074, New York University, Leonard N. Stern School of Business-.
  11. Bonomo, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(3), pages 239-265, September.
  12. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, Elsevier, vol. 47(2), pages 249-283, April.
  13. Sibert, Anne, 1996. "Unconventional preferences: do they explain foreign exchange risk premia?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(1), pages 149-165, February.
  14. Marcelo Ochoa, 2013. "Volatility, labor heterogeneity and asset prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-71, Board of Governors of the Federal Reserve System (U.S.).
  15. 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.
  16. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  17. 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.
  18. Andrea Vedolin, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 43091, London School of Economics and Political Science, LSE Library.
  19. Llubos Pástor, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, American Finance Association, vol. 56(4), pages 1207-1239, 08.
  20. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 91(1), pages 59-82, January.
  21. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  22. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  23. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
  24. Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(3), pages 540-563, September.
  25. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  26. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(2), pages 177-191.
  27. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(10), pages 1925-1954, September.
  28. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, Elsevier, vol. 27(1), pages 39-71, February.
  29. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers, Society for Economic Dynamics 123, Society for Economic Dynamics.
  30. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  31. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  32. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York.
  33. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 573-637, December.
  34. Ni, Shawn & Raymon, Neil, 2004. "Price uncertainty and consumer welfare in an intertemporal setting," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(9), pages 1877-1901, July.
  35. repec:dgr:uvatin:1997041 is not listed on IDEAS
  36. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers 1554, Econometric Society.
  37. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
  38. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 49(2), pages 515-41, June.
  39. Brennan, Michael & Wang, Ashley W & Xia, Yihong, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt20r0j5t8, Anderson Graduate School of Management, UCLA.
  40. Bidarkota, Prasad V., 2006. "On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 10(01), pages 56-76, February.
  41. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  42. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1911-1928.
  43. 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, Society for Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
  44. Andrew B. Abel, 1998. "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers 6683, National Bureau of Economic Research, Inc.
  45. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
  46. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1393-1414, 08.
  47. Papadamou, Stephanos & Siriopoulos, Costas, 2008. "Does the ECB Care about Shifts in Investors’ Risk Appetite?," MPRA Paper 25973, University Library of Munich, Germany.
  48. 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.
  49. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.
  50. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  51. repec:dgr:uvatin:2097041 is not listed on IDEAS
  52. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
  53. Charlie Cai & Robert Faff & David Hillier & Michael McKenzie, 2006. "Modelling return and conditional volatility exposures in global stock markets," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 27(2), pages 125-142, September.
  54. Romeo Tedongap, 2007. "Consumption Volatility and the Cross-Section of Stock Returns," 2007 Meeting Papers, Society for Economic Dynamics 662, Society for Economic Dynamics.
  55. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers, Job Market Papers pch1244, Job Market Papers.
  56. Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 61(2), pages 539-580, 04.
  57. Li, Yuming, 2001. "Expected Returns and Habit Persistence," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-99.
  58. F. Gonzalez Miranda & N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(2), pages 137-157.
  59. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(2), pages 181-197, June.