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Citations for "Risk and Return: Consumption Beta versus Market Beta"

by Mankiw, N Gregory & Shapiro, Matthew D

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  1. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3158-3173.
  2. Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers, Department of Economics, West Virginia University 05-05 Classification- JEL, Department of Economics, West Virginia University.
  3. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers, CEPII research center 2007-02, CEPII research center.
  4. John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
  5. Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(3), pages 267-301, September.
  6. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 49, Money Macro and Finance Research Group.
  7. E. Scott Mayfield & Robert G. Murphy, 1993. "Explaining The Term Structure Of Interest Rates: A Panel Data Approach," Boston College Working Papers in Economics, Boston College Department of Economics 230, Boston College Department of Economics.
  8. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers, NIPE - Universidade do Minho 9/2010, NIPE - Universidade do Minho.
  9. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(2), pages 117-130.
  10. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers, Banco de Portugal, Economics and Research Department w201119, Banco de Portugal, Economics and Research Department.
  11. William C. Brainard & Matthew D. Shapiro & John B. Shoven, 1990. "Fundamental Value and Market Value," NBER Working Papers 3452, National Bureau of Economic Research, Inc.
  12. Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
  13. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers, NIPE - Universidade do Minho 29/2007, NIPE - Universidade do Minho.
  14. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
  15. Elyès Jouini & Clotilde Napp, 2003. "A class of models satisfying a dynamical version of the CAPM," Post-Print, HAL halshs-00167159, HAL.
  16. John Fernald & John H. Rogers, 2002. "Puzzles In The Chinese Stock Market," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 84(3), pages 416-432, August.
  17. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4465-4475.
  18. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, Elsevier, vol. 40(8), pages 1647-1664, November.
  19. Andreas Bossard, 1989. "Das konsumgestützte Kapitalmarktmodell: Empirische Ergebnisse für die Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 125(II), pages 135-156, June.
  20. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(2), pages 369-393.
  21. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  22. Jonathan A. Parker, 2003. "Consumption Risk And Expected Stock Returns," Working Papers, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics. 144, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics..
  23. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, Elsevier, vol. 46(3), pages 357-381, December.
  24. 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.
  25. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee 2013-1, Nobel Prize Committee.
  26. N. Gregory Mankiw & Stephen P. Zeldes, 1990. "The Consumption of Stockholders and Non-Stockholders," NBER Working Papers 3402, National Bureau of Economic Research, Inc.
  27. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  28. Yamin Ahmad, 2002. "Money Market Rates and Implied CCAPM Rates: Some International Evidence," Working Papers, Georgetown University, Department of Economics gueconwpa~02-02-06, Georgetown University, Department of Economics.
  29. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
  30. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
  31. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, Elsevier, vol. 21(2), pages 241-262, April.
  32. Alberto Giovannini & Philippe Jorion, 1989. "Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing," NBER Working Papers 3195, National Bureau of Economic Research, Inc.
  33. 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.
  34. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
  35. Elena Marquez & Belen Nieto, 2011. "Further international evidence on durable consumption growth and long-run consumption risk," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(2), pages 195-217.
  36. 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.
  37. Stijn Claessens & Moon-Whoan Rhee, 1993. "The Effect of Equity Barriers on Foreign Investment in Developing Countries," NBER Working Papers 4579, National Bureau of Economic Research, Inc.
  38. Zheng (Michael) Song & Guiying (Laura) Wu, 2013. "A Structural Estimation on Capital Market Distortions in Chinese Manufacturing," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 1306, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  39. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "Financial integration in Europe: Evidence from Euler equation tests," Discussion Paper, Tilburg University, Center for Economic Research 1995-32, Tilburg University, Center for Economic Research.
  40. Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2013. "What do the Fama–French factors add to C-CAPM?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 113-127.
  41. 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.
  42. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports, Federal Reserve Bank of New York 93, Federal Reserve Bank of New York.
  43. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, . "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers, Department of Economics, University of York 11/23, Department of Economics, University of York.
  44. Napp, Clotilde & Jouini, Elyès, 2003. "A Class of Models satisfying a Dynamical Version of the CAPM," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/56, Paris Dauphine University.
  45. Nakano, Katsura & Saito, Makoto, 1998. "Asset Pricing in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 12(2), pages 151-166, June.
  46. Victoria Atanasov, 2014. "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-070/IV, Tinbergen Institute.
  47. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers, CIRANO 2002s-11, CIRANO.
  48. Coudert, V. & Gex, M., 2006. "Can risk aversion indicators anticipate financial crises?," Financial Stability Review, Banque de France, Banque de France, issue 9, pages 67-87, December.
  49. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  50. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, . "Consumption, Size and Book-to-Market Ratio in Equity Returns," Discussion Papers, Department of Economics, University of York 11/24, Department of Economics, University of York.
  51. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(5), pages 653-680, September.