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Leonid Kogan

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.

    Mentioned in:

    1. Durability of Output and Expected Stock Returns (JPE 2009) in ReplicationWiki ()
  2. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2020. "Left Behind: Creative Destruction, Inequality, and the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 128(3), pages 855-906.

    Mentioned in:

    1. Left Behind: Creative Destruction, Inequality, and the Stock Market (JPE 2020) in ReplicationWiki ()

Working papers

  1. Winston Wei Dou & Leonid Kogan & Wei Wu, 2022. "Common Fund Flows: Flow Hedging and Factor Pricing," NBER Working Papers 30234, National Bureau of Economic Research, Inc.

    Cited by:

    1. Aragon, George O. & Kim, Min S., 2023. "Fire sale risk and expected stock returns," Journal of Financial Economics, Elsevier, vol. 149(3), pages 578-609.

  2. Leonid Kogan & Dimitris Papanikolaou & Lawrence D. W. Schmidt & Bryan Seegmiller, 2021. "Technology, Vintage-Specific Human Capital, and Labor Displacement: Evidence from Linking Patents with Occupations," NBER Working Papers 29552, National Bureau of Economic Research, Inc.

    Cited by:

    1. J. Carter Braxton & Kyle F. Herkenhoff & Jonathan L. Rothbaum & Lawrence Schmidt, 2021. "Changing Income Risk across the US Skill Distribution: Evidence from a Generalized Kalman Filter," NBER Working Papers 29567, National Bureau of Economic Research, Inc.
    2. Schneider, Benjamin & Vipond, Hillary, 2023. "The past and future of work: how history can inform the age of automation," Economic History Working Papers 119282, London School of Economics and Political Science, Department of Economic History.
    3. Barry, John W. & Campello, Murillo & Graham, John R. & Ma, Yueran, 2022. "Corporate flexibility in a time of crisis," Journal of Financial Economics, Elsevier, vol. 144(3), pages 780-806.
    4. Montobbio, Fabio & Staccioli, Jacopo & Virgillito, Maria Enrica & Vivarelli, Marco, 2021. "Labour-Saving Automation and Occupational Exposure: A Text-Similarity Measure," IZA Discussion Papers 14879, Institute of Labor Economics (IZA).
    5. Tyna Eloundou & Sam Manning & Pamela Mishkin & Daniel Rock, 2023. "GPTs are GPTs: An Early Look at the Labor Market Impact Potential of Large Language Models," Papers 2303.10130, arXiv.org, revised Aug 2023.
    6. Benjamin Schneider & Hillary Vipond, 2023. "The Past and Future of Work: How History Can Inform the Age of Automation," CESifo Working Paper Series 10766, CESifo.
    7. Seegmiller, Bryan & Papanikolaou, Dimitris & Schmidt, Lawrence D.W., 2023. "Measuring document similarity with weighted averages of word embeddings," Explorations in Economic History, Elsevier, vol. 87(C).

  3. Leonid Kogan & Dimitris Papanikolaou & Lawrence D. W. Schmidt & Jae Song, 2020. "Technological Innovation and Labor Income Risk," Working Papers, Center for Retirement Research at Boston College 202010, Center for Retirement Research.

    Cited by:

    1. J. Carter Braxton & Kyle F. Herkenhoff & Jonathan L. Rothbaum & Lawrence Schmidt, 2021. "Changing Income Risk across the US Skill Distribution: Evidence from a Generalized Kalman Filter," NBER Working Papers 29567, National Bureau of Economic Research, Inc.
    2. Valentin Haddad & Paul Ho & Erik Loualiche, 2022. "Bubbles and the Value of Innovation," NBER Working Papers 29917, National Bureau of Economic Research, Inc.
    3. Purnomo, Agung, 2022. "Desa Wirausaha sebagai Eskalasi Ekonomi Desa berbasis Kewirausahaan," OSF Preprints np629, Center for Open Science.
    4. Johan Hombert & Adrien Matray, 2019. "Technology Boom, Labor Reallocation, and Human Capital Depreciation," Working Papers 260, Princeton University, Department of Economics, Center for Economic Policy Studies..
    5. Christian Moser & Farzad Saidi & Benjamin Wirth & Stefanie Wolter, 2021. "Credit Supply, Firms, and Earnings Inequality," ECONtribute Discussion Papers Series 086, University of Bonn and University of Cologne, Germany.
    6. Hombert, Johan & Matray, Adrien, 2019. "Technology Boom, Labor Reallocation, and Human Capital Depreciation," CEPR Discussion Papers 14136, C.E.P.R. Discussion Papers.

  4. Hui Chen & Winston Wei Dou & Leonid Kogan, 2019. "Measuring “Dark Matter” in Asset Pricing Models," NBER Working Papers 26418, National Bureau of Economic Research, Inc.

    Cited by:

    1. Matthew Baron & Wei Xiong, 2016. "Credit Expansion and Neglected Crash Risk," NBER Working Papers 22695, National Bureau of Economic Research, Inc.
    2. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    3. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    4. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
    5. Hansen, Lars Peter & Sargent, Thomas J., 2021. "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, vol. 223(1), pages 222-250.
    6. John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
    7. Hassan Afrouzi & Laura Veldkamp, 2019. "Biased Inflation Forecasts," 2019 Meeting Papers 894, Society for Economic Dynamics.
    8. Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
    9. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    10. Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.

  5. Indrajit Mitra & Leonid Kogan, 2014. "Accuracy Verification for Numerical Solutions of Equilibrium Models," 2014 Meeting Papers 423, Society for Economic Dynamics.

    Cited by:

    1. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.

  6. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    2. Chung, Chune Young & Liu, Chang & Wang, Kainan, 2021. "The big picture: The industry effect of short interest," International Review of Financial Analysis, Elsevier, vol. 76(C).
    3. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
    4. Matthieu Gomez, 2017. "Asset Prices and Wealth Inequality," 2017 Meeting Papers 1155, Society for Economic Dynamics.

  7. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.

    Cited by:

    1. 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.
    2. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    3. Kraft, Holger & Schwartz, Eduardo S. & Weiss, Farina, 2017. "Growth options and firm valuation," SAFE Working Paper Series 6, Leibniz Institute for Financial Research SAFE, revised 2017.
    4. Croce, Mariano & Ai, Hengjie & Li, Kai & Diercks, Anthony, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    5. Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013. "Growth Options and Firm Valuation," NBER Working Papers 18836, National Bureau of Economic Research, Inc.
    6. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    7. Kenneth Marangu & Stephen Muathe & Lucy Mwangi, 2019. "Firm Factors and Share Returns of Secondary Equity Offers at Nairobi," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(6), pages 107-107, June.

  8. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Evans Agala Mutende & M. Mwangi & J.M. Njihia & D.E. Ochieng, 2017. "The moderating role of firm characteristics on the relationship between free cash flows and financial performance of firms listed at the Nairobi securities exchange," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(4), pages 1-3.
    2. Alireza Farnoush & Ashish Gupta & Hamidreza Ahady Dolarsara & David Paradice & Shashank Rao, 2022. "Going beyond intent to adopt Blockchain: an analytics approach to understand board member and financial health characteristics," Annals of Operations Research, Springer, vol. 308(1), pages 93-123, January.
    3. Alexandre Alles Rodrigues & Fabrizio Casalin, 2022. "Factor investing in Brazil: Diversifying across factor tilts and allocation strategies," Post-Print hal-03968011, HAL.
    4. Arie Pratama & Winwin Yadiati & Nanny Dewi Tanzil & Jadi Suprijadi, 2021. "Integrated Reporting in Southeast Asia: Does Value Creation Work?," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 10, September.

  9. Leonid Kogan & Dimitris Papanikolaou & Amit Seru & Noah Stoffman, 2012. "Technological Innovation, Resource Allocation, and Growth," NBER Working Papers 17769, National Bureau of Economic Research, Inc.

    Cited by:

    1. Wang, Quan-Jing & Feng, Gen-Fu & Chen, Yin E. & Wen, Jun & Chang, Chun-Ping, 2019. "The impacts of government ideology on innovation: What are the main implications?," Research Policy, Elsevier, vol. 48(5), pages 1232-1247.
    2. Hickfang, Michael & Holder, Ulrike, 2018. "The impact of stock options on risk-taking: Founder-CEOs and innovation," Discussion Papers of the Institute for Organisational Economics 12/2018, University of Münster, Institute for Organisational Economics.
    3. Ilona Babenko & Benjamin Bennett & John M Bizjak & Jeffrey L Coles & Jason J Sandvik, 2023. "Clawback Provisions and Firm Risk," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(2), pages 191-239.
    4. Masami Imai & Michiru Sawada, 2022. "Does a Financial Crisis Impair Corporate Innovation?," Wesleyan Economics Working Papers 2022-002, Wesleyan University, Department of Economics.
    5. Hyoseok (David) Hwang, 2023. "The real effects of local mutual funds: Evidence from corporate innovation," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 272-300, June.
    6. Ralf Martin & Dennis Verhoeven, 2022. "Knowledge spillovers from clean and emerging technologies in the UK," CEP Discussion Papers dp1834, Centre for Economic Performance, LSE.
    7. Zhao, Jun & Shahbaz, Muhammad & Dong, Kangyin, 2022. "How does energy poverty eradication promote green growth in China? The role of technological innovation," Technological Forecasting and Social Change, Elsevier, vol. 175(C).
    8. Pauly, Stefan & Stipanicic, Fernando, 2021. "The creation and diffusion of knowledge: Evidence from the Jet Age," CEPREMAP Working Papers (Docweb) 2112, CEPREMAP.
    9. Bostan, Ibrahim & Mian, G. Mujtaba, 2023. "Do insiders trade on innovation?," Journal of Contemporary Accounting and Economics, Elsevier, vol. 19(1).
    10. Max Nathan & Anna Rosso, 2019. "Innovative events," CEP Discussion Papers dp1607, Centre for Economic Performance, LSE.
    11. Cascaldi-Garcia, Danilo & Vukoti, Marija & Zubairy, Sarah, 2023. "Innovation During Challenging Times," The Warwick Economics Research Paper Series (TWERPS) 1475, University of Warwick, Department of Economics.
    12. Chen, I-Ju & Hsu, Po-Hsuan & Officer, Micah S. & Wang, Yanzhi, 2020. "The Oscar goes to…: High-tech firms’ acquisitions in response to rivals’ technology breakthroughs," Research Policy, Elsevier, vol. 49(7).
    13. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
    14. Schauf, Magnus & Schwenen, Sebastian, 2021. "Mills of progress grind slowly? Estimating learning rates for onshore wind energy," Energy Economics, Elsevier, vol. 104(C).
    15. Mohammadi, Ali & Basir, Nada O. & Beyhaghi, Mehdi, 2015. "Research Intensity and Financial Analysts Earnings Forecast: Signaling Effects of Patents," Working Paper Series in Economics and Institutions of Innovation 397, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    16. Amin, Md Ruhul & Wang, Xinyu & Aktas, Elvan, 2023. "Does oil price uncertainty affect corporate innovation?," Energy Economics, Elsevier, vol. 118(C).
    17. Becker, Bo & Ivashina, Victoria, 2019. "Disruption and Credit Markets," CEPR Discussion Papers 13508, C.E.P.R. Discussion Papers.
    18. Stephen G. Dimmock & Jiekun Huang & Scott J. Weisbenner, 2019. "Give Me Your Tired, Your Poor, Your High-Skilled Labor: H-1B Lottery Outcomes and Entrepreneurial Success," NBER Working Papers 26392, National Bureau of Economic Research, Inc.
    19. Bell, Alex & Chetty, Raj & Jaravel, Xavier & Petkova, Neviana & Van Reenen, John, 2019. "Who becomes an inventor in America? The importance of exposure to innovation," LSE Research Online Documents on Economics 101434, London School of Economics and Political Science, LSE Library.
    20. Cameron D. Miller & Puay Khoon Toh, 2022. "Complementary components and returns from coordination within ecosystems via standard setting," Strategic Management Journal, Wiley Blackwell, vol. 43(3), pages 627-662, March.
    21. Gambardella, Alfonso, 2023. "Private and social functions of patents: Innovation, markets, and new firms," Research Policy, Elsevier, vol. 52(7).
    22. Desai, Pranav, 2021. "Essays in corporate finance and innovation," Other publications TiSEM 1ef5fdc6-9c52-43df-be1a-d, Tilburg University, School of Economics and Management.
    23. Matteo Tubiana & Ernest Miguelez & Rosina Moreno, 2020. "In knowledge we trust: learning-by-interacting and the productivity of inventors," IREA Working Papers 202013, University of Barcelona, Research Institute of Applied Economics, revised Sep 2020.
    24. Raffaele Morandi Stagni & Andrea Fosfuri & Juan Santaló, 2021. "A bird in the hand is worth two in the bush: Technology search strategies and competition due to import penetration," Strategic Management Journal, Wiley Blackwell, vol. 42(8), pages 1516-1544, August.
    25. Kim, Jinhee & Lee, Keun, 2022. "Local–global interface as a key factor in the catching up of regional innovation systems: Fast versus slow catching up among Taipei, Shenzhen, and Penang in Asia," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
    26. Gangopadhyay, Shubhashis & Homroy, Swarnodeep, 2023. "Do social policies foster innovation? Evidence from India's CSR regulation," Research Policy, Elsevier, vol. 52(1).
    27. Lauren Cohen & Umit Gurun & Scott Duke Kominers, 2014. "Patent Trolls: Evidence from Targeted Firms," NBER Working Papers 20322, National Bureau of Economic Research, Inc.
    28. Su, Kun & Wu, Ji & Lu, Yue, 2022. "With trust we innovate: Evidence from corporate R&D expenditure," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
    29. Huasheng Zhu & Duer Su & Fei Yao, 2022. "Spatio-Temporal Differences in Economic Security of the Prefecture-Level Cities in Qinghai–Tibet Plateau Region of China: Based on a Triple-Dimension Analytical Framework of Economic Geography," IJERPH, MDPI, vol. 19(17), pages 1-29, August.
    30. Karakaya, Neslihan & Michalski, Tomasz K. & Örs, Evren, 2022. "Banking integration and growth: Role of banks' previous industry exposure," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    31. Yusuke Oh & Koji Takahashi, 2020. "R&D and Innovation: Evidence from Patent Data," Bank of Japan Working Paper Series 20-E-7, Bank of Japan.
    32. Jeffrey L. Callen & Xiaohua Fang, 2020. "Local Gambling Norms and Audit Pricing," Journal of Business Ethics, Springer, vol. 164(1), pages 151-173, June.
    33. David H. Autor & David Dorn & Gordon H. Hanson & Gary Pisano & Pian Shu, 2019. "Foreign Competition and Domestic Innovation: Evidence from U.S. Patents," CESifo Working Paper Series 7865, CESifo.
    34. Michael Peneder & Julia Bock-Schappelwein & Matthias Firgo & Oliver Fritz & Gerhard Streicher, 2016. "Österreich im Wandel der Digitalisierung," WIFO Studies, WIFO, number 58979, April.
    35. Danilo Cascaldi-Garcia & Marija Vukotić, 2020. "Patent-Based News Shocks," International Finance Discussion Papers 1277, Board of Governors of the Federal Reserve System (U.S.).
    36. M. D. Beneish & C. R. Harvey & A. Tseng & P. Vorst, 2022. "Unpatented innovation and merger synergies," Review of Accounting Studies, Springer, vol. 27(2), pages 706-744, June.
    37. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2021. "Is There News in Inventories?," Working Paper series 21-26, Rimini Centre for Economic Analysis.
    38. Huang, Jingong & Xie, Taojun, 2023. "Technology centrality, bilateral knowledge spillovers and mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 79(C).
    39. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
    40. Davidson Heath & Matthew Ringgenberg & Mehrdad Samadi & Ingrid M. Werner, 2022. "Reusing Natural Experiments," International Finance Discussion Papers 1339, Board of Governors of the Federal Reserve System (U.S.).
    41. Junho Park, 2022. "We are advertis’d by our loving friends: CEO‐connected directors," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3189-3238, September.
    42. Liu, Ying & Liu, Steve & Wu, Ziqi & Xiao, Yi, 2022. "How do technological innovations affect corporate investment and hiring?," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    43. Gu, Yuqi & Zhang, Ling, 2017. "The impact of the Sarbanes-Oxley Act on corporate innovation," Journal of Economics and Business, Elsevier, vol. 90(C), pages 17-30.
    44. Hötte, Kerstin & Pichler, Anton & Lafond, François, 2021. "The rise of science in low-carbon energy technologies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 139(C).
    45. de Bettignies, Jean-Etienne & Ries, John, 2023. "When less is more: Information and the financing of innovation," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 346-369.
    46. Seungho Choi & Gerry McNamara, 2018. "Repeating a familiar pattern in a new way: The effect of exploitation and exploration on knowledge leverage behaviors in technology acquisitions," Strategic Management Journal, Wiley Blackwell, vol. 39(2), pages 356-378, February.
    47. Weihua Su & Zhen Wang & Chonghui Zhang & Tomas Balezentis, 2023. "Determinants of the innovation efficiency of strategic emerging enterprises: evidence from the robust frontiers," Economic Change and Restructuring, Springer, vol. 56(3), pages 1433-1465, June.
    48. Øyvind A. Nilsen & Arvid Raknerud, 2022. "Dynamics of first-time patenting firms," Discussion Papers 986, Statistics Norway, Research Department.
    49. Stoffman, Noah & Woeppel, Michael & Yavuz, M. Deniz, 2022. "Small innovators: No risk, No return," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    50. Chowdhury, Hasibul & Hodgson, Allan & Pathan, Shams, 2020. "Do external labour market incentives constrain bad news hoarding? The CEO's industry tournament and crash risk reduction," Journal of Corporate Finance, Elsevier, vol. 65(C).
    51. Bertanha Marinho & Moser Petra, 2016. "Spatial Errors in Count Data Regressions," Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 49-69, January.
    52. Ralf Martin & Dennis Verhoeven, 2022. "Knowledge spillovers from clean and emerging technologies in the UK," POID Working Papers 053, Centre for Economic Performance, LSE.
    53. Watzinger, Martin & Fackler, Thomas A. & Nagler, Markus & Schnitzer, Monika, 2020. "How Antitrust Enforcement Can Spur Innovation: Bell Labs and the 1956 Consent Decree," Munich Reprints in Economics 84713, University of Munich, Department of Economics.
    54. James Ming Chen & Mira Zovko & Nika Šimurina & Vatroslav Zovko, 2021. "Fear in a Handful of Dust: The Epidemiological, Environmental, and Economic Drivers of Death by PM 2.5 Pollution," IJERPH, MDPI, vol. 18(16), pages 1-59, August.
    55. Feng Gu & Baruch Lev & Chenqi Zhu, 2023. "All losses are not alike: Real versus accounting-driven reported losses," Review of Accounting Studies, Springer, vol. 28(3), pages 1141-1189, September.
    56. Cozzi, Guido & Pataracchia, Beatrice & Ratto, Marco & Pfeiffer, Philipp, 2017. "How much Keynes and how much Schumpeter? An Estimated Macromodel of the US Economy," MPRA Paper 77771, University Library of Munich, Germany.
    57. Gordon, Elizabeth A. & Hsu, Hsiao-Tang & Huang, Huichi, 2020. "Peer R&D disclosure and corporate innovation: Evidence from American depositary receipt firms," Advances in accounting, Elsevier, vol. 49(C).
    58. Acemoglu, Daron & Akcigit, Ufuk & Bloom, Nicholas & Kerr, William, 2013. "Innovation, reallocation and growth," Bank of Finland Research Discussion Papers 22/2013, Bank of Finland.
    59. Valentin Haddad & Paul Ho & Erik Loualiche, 2022. "Bubbles and the Value of Innovation," NBER Working Papers 29917, National Bureau of Economic Research, Inc.
    60. Agarwal, Vikas & Vashishtha, Rahul & Venkatachalam, Mohan, 2017. "Mutual fund transparency and corporate myopia," CFR Working Papers 16-10, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    61. Hasan, Iftekhar & Li, Xiang & Takalo, Tuomas, 2023. "Technological innovation and the bank lending channel of monetary policy transmission," BOFIT Discussion Papers 9/2023, Bank of Finland Institute for Emerging Economies (BOFIT).
    62. Pu Liu & Yingying Shao, 2022. "Innovation and new business formation: the role of innovative large firms," Small Business Economics, Springer, vol. 59(2), pages 691-720, August.
    63. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.
    64. Ali, Usman & Hirshleifer, David, 2020. "Shared analyst coverage: Unifying momentum spillover effects," Journal of Financial Economics, Elsevier, vol. 136(3), pages 649-675.
    65. Philippon, Thomas & Gutierrez, German, 2017. "Declining Competition and Investment in the U.S," CEPR Discussion Papers 12536, C.E.P.R. Discussion Papers.
    66. Naji Mohammad Alshammasi & Adel Abdulkarim Almomen, 2022. "Innovation Output and Idiosyncratic Volatility: US Evidence," JRFM, MDPI, vol. 16(1), pages 1-17, December.
    67. Döttling, Robin & Lam, Adrian, 2023. "Does Monetary Policy Shape the Path to Carbon Neutrality?," OSF Preprints kqdar, Center for Open Science.
    68. Stephanie Houle & Ryan Macdonald, 2023. "Identifying Nascent High-Growth Firms Using Machine Learning," Staff Working Papers 23-53, Bank of Canada.
    69. Cao, Xiaping & Leng, Tiecheng & Goh, Jeremy & Malatesta, Paul, 2020. "The innovation effect of dual-class shares: New evidence from US firms," Economic Modelling, Elsevier, vol. 91(C), pages 347-357.
    70. Alexander Donges & Jean Marie Meier & Rui Silva, 2017. "The impact of institutions on innovation," Working Papers 17023, Economic History Society.
    71. Chun, Hyunbae & Kim, Jung-Wook & Lee, Jason, 2015. "How does information technology improve aggregate productivity? A new channel of productivity dispersion and reallocation," Research Policy, Elsevier, vol. 44(5), pages 999-1016.
    72. Le, Thanh & Pham, Hanh & Mai, Sau & Vu, Ngoc, 2022. "Frontier academic research, industrial R&D and technological progress: The case of OECD countries," Technovation, Elsevier, vol. 114(C).
    73. Lee, Eugenia Y. & Ha, Wonsuk & Park, Sunyoung, 2023. "Auditor specialization in R&D and clients’ R&D investment-q sensitivity," Journal of Contemporary Accounting and Economics, Elsevier, vol. 19(2).
    74. Acharya, Viral & Johnson, Timothy & Sundaresan, Suresh & Zheng, Steven, 2020. "The Value of a Cure: An Asset Pricing Perspective," CEPR Discussion Papers 15558, C.E.P.R. Discussion Papers.
    75. Clancy, Matthew S. & Sneeringer, Stacy E., 2018. "Eating the Seed Corn? The Impact of Generic Drug Entry on Innovation in Animal Health," 2018 Annual Meeting, August 5-7, Washington, D.C. 274379, Agricultural and Applied Economics Association.
    76. Huasheng Gao & Huai Zhang & Jin Zhang, 2018. "Employee turnover likelihood and earnings management: evidence from the inevitable disclosure doctrine," Review of Accounting Studies, Springer, vol. 23(4), pages 1424-1470, December.
    77. Janna Axenbeck & Patrick Breithaupt, 2021. "Innovation indicators based on firm websites—Which website characteristics predict firm-level innovation activity?," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-23, April.
    78. Hoffmann, Florian & Pfeil, Sebastian, 2021. "Dynamic multitasking and managerial investment incentives," Journal of Financial Economics, Elsevier, vol. 142(2), pages 954-974.
    79. Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020. "Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime," FRB Atlanta Working Paper 2020-19, Federal Reserve Bank of Atlanta.
    80. Julian Atanassov, 2016. "Arm’s Length Financing and Innovation: Evidence from Publicly Traded Firms," Management Science, INFORMS, vol. 62(1), pages 128-155, January.
    81. Kyle R. Myers & Lauren Lanahan, 2022. "Estimating Spillovers from Publicly Funded R&D: Evidence from the US Department of Energy," American Economic Review, American Economic Association, vol. 112(7), pages 2393-2423, July.
    82. Hötte, Kerstin, 2023. "Demand-pull, technology-push, and the direction of technological change," Research Policy, Elsevier, vol. 52(5).
    83. Bondarev, Anton & Krysiak, Frank C., 2021. "Economic development and the structure of cross-technology interactions," European Economic Review, Elsevier, vol. 132(C).
    84. Kong, Dongmin & Zhang, Bohui & Zhang, Jian, 2022. "Higher education and corporate innovation," Journal of Corporate Finance, Elsevier, vol. 72(C).
    85. Hasan, Iftekhar & (Stan) Hoi, Chun-Keung & Wu, Qiang & Zhang, Hao, 2020. "Is social capital associated with corporate innovation? Evidence from publicly listed firms in the U.S," Journal of Corporate Finance, Elsevier, vol. 62(C).
    86. Heather Berry, 2017. "Managing valuable knowledge in weak IP protection countries," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 48(7), pages 787-807, September.
    87. Aggarwal, Dhruv & Eldar, Ofer & Hochberg, Yael V. & Litov, Lubomir P., 2022. "The rise of dual-class stock IPOs," Journal of Financial Economics, Elsevier, vol. 144(1), pages 122-153.
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  10. Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.

    Cited by:

    1. Andrea Eisfeldt & Antonio Falato & Mindy Z. Xiaolan, 2018. "The Rise of Human Capitalist," 2018 Meeting Papers 1110, Society for Economic Dynamics.
    2. Yuji Honjo & Koki Kurihara, 2023. "Graduation of initial public offering firms from junior stock markets: evidence from the Tokyo Stock Exchange," Small Business Economics, Springer, vol. 60(2), pages 813-841, February.
    3. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
    4. Andrea L. Eisfeldt & Antonio Falato & Mindy Z. Xiaolan, 2021. "Human Capitalists," NBER Working Papers 28815, National Bureau of Economic Research, Inc.
    5. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    6. David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
    7. Leonid Kogan & Dimitris Papanikolaou, 2010. "Growth Opportunities and Technology Shocks," American Economic Review, American Economic Association, vol. 100(2), pages 532-536, May.
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    41. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
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    43. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    44. Po‐Hsuan Hsu & Kai Li & Chi‐Yang Tsou, 2023. "The Pollution Premium," Journal of Finance, American Finance Association, vol. 78(3), pages 1343-1392, June.
    45. Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    46. Mikhail Simutin & JessieJiaxu Wang & Lars Kuehn, 2014. "A Labor Capital Asset Pricing Model," 2014 Meeting Papers 695, Society for Economic Dynamics.
    47. Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
    48. Eran Hoffmann, 2018. "The Cyclical Composition of Startups," 2018 Meeting Papers 553, Society for Economic Dynamics.
    49. Dmitry Livdan & Alexander Nezlobin, 2017. "Accounting rules, equity valuation, and growth options," Review of Accounting Studies, Springer, vol. 22(3), pages 1122-1155, September.
    50. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
    51. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    52. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    53. Lee, Charles M. C. Lee & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2017. "Technological Links and Predictable Returns," Research Papers repec:ecl:stabus:3605, Stanford University, Graduate School of Business.
    54. Croce, Mariano & Ai, Hengjie & Li, Kai & Diercks, Anthony, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    55. Narayan, Paresh Kumar, 2018. "Profitability of technology-investing Islamic and non-Islamic stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 70-81.
    56. Onali, Enrico & Mascia, Danilo V., 2022. "Corporate diversification and stock risk: Evidence from a global shock," Journal of Corporate Finance, Elsevier, vol. 72(C).
    57. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020. "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series 265, Leibniz Institute for Financial Research SAFE.
    58. Michael W Brandt & David A Chapman, 2018. "Linear Approximations and Tests of Conditional Pricing Models [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, vol. 22(2), pages 455-489.
    59. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
    60. João F. Gomes & Lukas Schmid, 2021. "Equilibrium Asset Pricing with Leverage and Default," Journal of Finance, American Finance Association, vol. 76(2), pages 977-1018, April.
    61. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    62. Xiaoqiong Wang & Siqi Wei & Xiaoyang Zhu, 2024. "Economic policy uncertainty and heterogeneous institutional investor horizons," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 39-67, January.
    63. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    64. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
    65. Lin, Xiaoji & Palazzo, Berardino & Yang, Fan, 2020. "The risks of old capital age: Asset pricing implications of technology adoption," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 145-161.
    66. Alex Hsu & Indrajit Mitra & Linghang Zeng, 2023. "The Profitability Channel of Monetary Policy Transmission," FRB Atlanta Working Paper 2023-06, Federal Reserve Bank of Atlanta.
    67. Sorabh Tomar, 2023. "Greenhouse Gas Disclosure and Emissions Benchmarking," Journal of Accounting Research, Wiley Blackwell, vol. 61(2), pages 451-492, May.
    68. Hyunbae Chun & Jung-Wook Kim & Randall Morck, 2016. "Productivity growth and stock returns: firm- and aggregate-level analyses," Applied Economics, Taylor & Francis Journals, vol. 48(38), pages 3644-3664, August.
    69. Kubota, Keiichi & Takehara, Hitoshi, 2019. "Firm-level innovation by Japanese family firms: Empirical analysis using multidimensional innovation measures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    70. Winston Wei Dou & Yan Ji & David Reibstein & Wei Wu, 2021. "Inalienable Customer Capital, Corporate Liquidity, and Stock Returns," Journal of Finance, American Finance Association, vol. 76(1), pages 211-265, February.
    71. Knesl, Jiří, 2023. "Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 147(2), pages 271-296.
    72. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
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  11. Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009. "The Demographics of Innovation and Asset Returns," NBER Working Papers 15457, National Bureau of Economic Research, Inc.

    Cited by:

    1. Li, Xiaogang, 2020. "Innovation, market valuations, policy uncertainty and trade: Theory and evidence," ISU General Staff Papers 202001010800009179, Iowa State University, Department of Economics.
    2. Hanno Lustig & Chad Syverson & Stijn Van Nieuwerburgh, 2009. "Technological Change and the Growing Inequality in Managerial Compensation," NBER Working Papers 14661, National Bureau of Economic Research, Inc.
    3. Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009. "Technological Growth and Asset Pricing," NBER Working Papers 15340, National Bureau of Economic Research, Inc.
    4. Ryo Jinnai, 2015. "Innovation, Product Cycle, and Asset Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(3), pages 484-504, July.
    5. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Narayan, Seema, 2018. "Technology-investing countries and stock return predictability," Emerging Markets Review, Elsevier, vol. 36(C), pages 159-179.

  12. Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.

    Cited by:

    1. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    2. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    3. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
    4. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    5. Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
    6. YiLi Chien & Harold L. Cole & Hanno Lustig, 2014. "Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy," Working Papers 2014-14, Federal Reserve Bank of St. Louis.
    7. Fu, Chengbo & Jacoby, Gady & Wang, Yan, 2015. "Investor sentiment and portfolio selection," Finance Research Letters, Elsevier, vol. 15(C), pages 266-273.
    8. Roman Muraviev, 2013. "Market selection with learning and catching up with the Joneses," Finance and Stochastics, Springer, vol. 17(2), pages 273-304, April.
    9. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
    10. Jaroslav Borovička, 2020. "Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences," Journal of Political Economy, University of Chicago Press, vol. 128(1), pages 206-251.
    11. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
    12. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
    13. Massari, Filippo, 2017. "Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 190-205.

  13. Leonid Kogan & Dmitry Livdan & Amir Yaron, 2008. "Oil Futures Prices in a Production Economy With Investment Constraints," Working Papers 0803, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.

    Cited by:

    1. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020. "A functional time series analysis of forward curves derived from commodity futures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 646-665.
    3. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.
    4. Robert C Ready, 2018. "Oil Prices and the Stock Market [The vix, the variance premium and stock market volatility]," Review of Finance, European Finance Association, vol. 22(1), pages 155-176.
    5. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
    6. Nicolas Merener, 2012. "Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures," Business School Working Papers 2012-01, Universidad Torcuato Di Tella.
    7. Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2021. "Predictability in commodity markets: Evidence from more than a century," Journal of Commodity Markets, Elsevier, vol. 24(C).
    8. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Christoffersen, Peter & Pan, Xuhui (Nick), 2018. "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 5-26.
    10. Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
    11. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    12. Alizadeh, Amir H. & Tamvakis, Michael, 2016. "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, vol. 56(C), pages 134-149.
    13. Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.
    14. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
    15. Han, Yufeng & Hu, Ting & Yang, Jian, 2016. "Are there exploitable trends in commodity futures prices?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 214-234.
    16. Chen, Yu-Fu & Mu, Xiaoyi, 2021. "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, vol. 22(C).
    17. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
    18. Don Bredin & John Elder & Stilianos Fountas, 2010. "Oil Volatility and the Option Value of Waiting: An analysis of the G-7," Discussion Paper Series 2010_05, Department of Economics, University of Macedonia, revised Apr 2010.
    19. Jia, Jian & Kang, Sang Baum, 2022. "Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME," Journal of Commodity Markets, Elsevier, vol. 25(C).
    20. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
    21. Oglend, Atle & Kleppe, Tore Selland, 2017. "On the behavior of commodity prices when speculative storage is bounded," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 52-69.
    22. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016. "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, vol. 54(C), pages 213-223.
    23. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Shocks propagation across the futures term structure : evidence from crude oil prices," Post-Print hal-01781765, HAL.
    24. Oglend, Atle, 2022. "The commodities/equities beta term-structure," Journal of Commodity Markets, Elsevier, vol. 28(C).
    25. Fink, Jason D. & Fink, Kristin E. & Russell, Allison, 2010. "When and how do tropical storms affect markets? The case of refined petroleum," Energy Economics, Elsevier, vol. 32(6), pages 1283-1290, November.
    26. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
    27. Casassus, Jaime & Ceballos, Diego & Higuera, Freddy, 2010. "Correlation structure between inflation and oil futures returns: An equilibrium approach," Resources Policy, Elsevier, vol. 35(4), pages 301-310, December.
    28. Delphine Lautier & Franck Raynaud, 2014. "Information Flows in the term structure of commodity prices," Post-Print hal-01655842, HAL.
    29. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
    30. Lim, Kian Guan & Nomikos, Nikos K. & Yap, Nelson, 2019. "Understanding the fundamentals of freight markets volatility," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 130(C), pages 1-15.
    31. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
    32. Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
    33. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
    34. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
    35. Chen, Fan & Linn, Scott C., 2017. "Investment and operating choice: Oil and natural gas futures prices and drilling activity," Energy Economics, Elsevier, vol. 66(C), pages 54-68.
    36. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers Main tel-03419405, HAL.
    37. Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018. "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 128-147.
    38. Ready, Robert C., 2018. "Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 1-26.
    39. Shi, Jing & Xu, Tracy, 2013. "Price and volatility dynamics between securitized real estate spot and futures markets," Economic Modelling, Elsevier, vol. 35(C), pages 582-592.
    40. Steven D. Baker, 2021. "The Financialization of Storable Commodities," Management Science, INFORMS, vol. 67(1), pages 471-499, January.
    41. Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.
    42. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
    43. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
    44. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    45. Ramos, Sofía B. & Veiga, Helena, 2010. "Asymmetric effects of oil price fluctuations in international stock markets," DES - Working Papers. Statistics and Econometrics. WS ws100904, Universidad Carlos III de Madrid. Departamento de Estadística.
    46. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

  14. Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.

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    1. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "The Value of Corporate Culture," EIEF Working Papers Series 1327, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2013.
    2. Brandt, Michael W. & Gao, Lin, 2019. "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 64-94.
    3. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    4. Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Leibniz Institute for Financial Research SAFE.
    5. Yuriy Gorodnichenko & Michael Weber, 2013. "Are Sticky Prices Costly? Evidence From The Stock Market," NBER Working Papers 18860, National Bureau of Economic Research, Inc.
    6. Belo, Frederico & Gala, Vito D. & Li, Jun, 2013. "Government spending, political cycles, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 305-324.
    7. Huang, Darien & Kilic, Mete, 2019. "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 50-75.
    8. 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.
    9. Fu, Tong & Jian, Ze, 2021. "Corruption pays off: How environmental regulations promote corporate innovation in a developing country," Ecological Economics, Elsevier, vol. 183(C).
    10. Thien Nguyen & Lukas Schmid & Howard Kung & Mariano Croce, 2012. "Fiscal Policies and Asset Prices," 2012 Meeting Papers 565, Society for Economic Dynamics.
    11. Liu, Jingzhen & Kemp, Alexander, 2019. "Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables," Energy Economics, Elsevier, vol. 81(C), pages 672-686.
    12. International Monetary Fund, 2011. "Business Cycles in Emerging Markets: The Role of Durable Goods and Financial Frictions," IMF Working Papers 2011/133, International Monetary Fund.
    13. Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
    14. Amadeu DaSilva & Mira Farka, 2018. "Asset pricing puzzles in an OLG economy with generalized preference," European Financial Management, European Financial Management Association, vol. 24(3), pages 331-361, June.
    15. Chava, Sudheer & Hsu, Alex & Zeng, Linghang, 2020. "Does history repeat itself? Business cycle and industry returns," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 201-218.
    16. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    17. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    18. Francesco D'Acunto & Ryan Liu & Carolin Pflueger & Michael Weber & Michael Weber, 2017. "Flexible Prices and Leverage," CESifo Working Paper Series 6317, CESifo.
    19. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
    20. Herskovic, Bernard & Kind, Thilo & Kung, Howard, 2023. "Micro uncertainty and asset prices," Journal of Financial Economics, Elsevier, vol. 149(1), pages 27-51.
    21. Castellares, Renzo & Salas, Jorge, 2019. "Contractual imperfections and the impact of crises on trade: Evidence from industry-level data," Journal of International Economics, Elsevier, vol. 116(C), pages 33-49.
    22. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    23. Tatyana Marchuk & Christian Schlag & Mariano Croce, 2017. "The Leading Premium," 2017 Meeting Papers 1251, Society for Economic Dynamics.
    24. Okubo, Masakatsu, 2023. "The moment restrictions for the durable consumption model with recursive utility revisited," Finance Research Letters, Elsevier, vol. 52(C).
    25. English, William B. & Van den Heuvel, Skander J. & Zakrajsek, Egon, 2014. "Interest Rate Risk and Bank Equity Valuations," Working Papers 14-05, University of Pennsylvania, Wharton School, Weiss Center.
    26. Dissanayake, Ruchith, 2021. "Geographic distribution of firms and expected stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    27. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
    28. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
    29. Po‐Hsuan Hsu & Kai Li & Chi‐Yang Tsou, 2023. "The Pollution Premium," Journal of Finance, American Finance Association, vol. 78(3), pages 1343-1392, June.
    30. Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    31. Cynthia M. Gong & Di Luo & Huainan Zhao, 2021. "Liquidity risk and the beta premium," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 789-814, December.
    32. Myroslav Pidkuyko, 2016. "When the Going Gets Tough: Durable Consumption and the Equity Premium," Centre for Growth and Business Cycle Research Discussion Paper Series 225, Economics, The University of Manchester.
    33. Jones, Christopher S. & Tuzel, Selale, 2013. "Inventory investment and the cost of capital," Journal of Financial Economics, Elsevier, vol. 107(3), pages 557-579.
    34. Victor Sellemi, 2022. "Risk in Network Economies," Papers 2208.01467, arXiv.org.
    35. Kim, H. Youn, 2014. "International financial integration and risk sharing among countries: A production-based approach," Journal of the Japanese and International Economies, Elsevier, vol. 31(C), pages 16-35.
    36. Hafedh Bouakez & Badye Omar Essid & Michel Normandin, 2010. "Stock Returns and Monetary Policy: Are There Any Ties ?," Cahiers de recherche 1026, CIRPEE.
    37. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
    38. Aramonte, Sirio, 2014. "Macroeconomic uncertainty and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 25-49.
    39. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
    40. Siraj, Ibrahim & Hassan, M. Kabir & Maroney, Neal, 2020. "Product demand sensitivity and the corporate diversification discount," Journal of Financial Stability, Elsevier, vol. 48(C).
    41. Cooper Howes, 2021. "Financial Constraints, Sectoral Heterogeneity, and the Cyclicality of Investment," Research Working Paper RWP 21-06, Federal Reserve Bank of Kansas City.
    42. Bernard Herskovic, 2015. "Networks in Production: Asset Pricing Implications," 2015 Meeting Papers 378, Society for Economic Dynamics.
    43. Lee, Kyeong Hun & Mauer, David C. & Xu, Emma Q., 2022. "Selling durables: Financial flexibility for limited cost pass-through," Journal of Corporate Finance, Elsevier, vol. 75(C).
    44. Thien Nguyen & Steve Raymond & Lukas Schmid & Mariano Croce, 2016. "Government Debt and the Returns to Innovation," 2016 Meeting Papers 1443, Society for Economic Dynamics.
    45. Bjørn Eraker & Ivan Shaliastovich & Wenyu Wang, 2016. "Durable Goods, Inflation Risk, and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 193-231.
    46. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
    47. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
    48. Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
    49. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    50. Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
    51. Binz, Oliver & Mayew, William J. & Nallareddy, Suresh, 2022. "Firms’ response to macroeconomic estimation errors," Journal of Accounting and Economics, Elsevier, vol. 73(2).
    52. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    53. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    54. Lorenzo Garlappi & Zhongzhi Song, 2017. "Can Investment Shocks Explain the Cross Section of Equity Returns?," Management Science, INFORMS, vol. 63(11), pages 3829-3848, November.
    55. Álvarez-Parra, Fernando & Brandao-Marques, Luis & Toledo, Manuel, 2013. "Durable goods, financial frictions, and business cycles in emerging economies," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 720-736.
    56. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
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    58. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
    59. Kim, Myeong Hyeon & Kim, Young Min & Yang, Kisung, 2022. "Understanding BOXPI — Industry portfolio perspectives," Journal of Asian Economics, Elsevier, vol. 81(C).
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    61. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
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  15. Leonid Kogan & Dmitry Livdan & Amir Yaron, 2005. "Futures Prices in a Production Economy with Investment Constraints," NBER Working Papers 11509, National Bureau of Economic Research, Inc.

    Cited by:

    1. Murray Carlson & Zeigham Khokher & Sheridan Titman, 2007. "Equilibrium Exhaustible Resource Price Dynamics," Journal of Finance, American Finance Association, vol. 62(4), pages 1663-1703, August.
    2. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
    3. Fink, Jason D. & Fink, Kristin E. & Russell, Allison, 2010. "When and how do tropical storms affect markets? The case of refined petroleum," Energy Economics, Elsevier, vol. 32(6), pages 1283-1290, November.
    4. Wang, Rui & Qi, Zhongying & Shu, Yumin, 2020. "Multiple relationships between fixed-asset investment and industrial structure evolution in China–Based on Directed Acyclic Graph (DAG) analysis and VAR model," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 222-231.
    5. Sang‐Kuck Chung, 2009. "Out‐of‐sample Hedge Performances for Risk Management in China Commodity Futures Markets," Asian Economic Journal, East Asian Economic Association, vol. 23(3), pages 349-372, September.
    6. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 19065, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    7. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
    8. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
    9. Razvan Tudor, 2009. "Evidence of unspanned stochastic volatility in crude-oil market," Advances in Economic and Financial Research - DOFIN Working Paper Series 33, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.

  16. Leonid Kogan & Stephan Ross & Jiang Wang & Mark Westerfield, 2004. "Price Impact and Survival of Irrational Traders," FAME Research Paper Series rp116, International Center for Financial Asset Management and Engineering.

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    1. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2013. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Working Papers 2013-23, Economic Research Institute, Bank of Korea.
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    4. Timothy Cogley & Thomas J. Sargent, 2009. "Diverse Beliefs, Survival and the Market Price of Risk," Economic Journal, Royal Economic Society, vol. 119(536), pages 354-376, March.
    5. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    6. Larry G. Epstein & Alvaro Sandroni, 2003. "Non-Bayesian Updating : A Theoretical Framework," RCER Working Papers 505, University of Rochester - Center for Economic Research (RCER).
    7. Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
    8. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    9. Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003. "The Price Impact and Survival of Irrational Traders," Working papers 4293-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. Branger, Nicole & Schlag, Christian & Wu, Lue, 2015. "‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 303-333.
    11. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
    12. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
    13. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
    14. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
    15. Crystal Lin & Hamid Rahman & Kenneth Yung, 2009. "Investor Sentiment and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 450-471, November.
    16. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    17. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral finance," Papers 03-14, Sonderforschungsbreich 504.
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    41. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    42. Arvid O. I. Hoffmann & Thomas Post & Tom Smith, 2017. "How return and risk experiences shape investor beliefs and preferences," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 759-788, September.
    43. Pástor, Ľuboš & Veronesi, Pietro, 2013. "Political uncertainty and risk premia," Journal of Financial Economics, Elsevier, vol. 110(3), pages 520-545.
    44. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
    45. Bottazzi, Giulio & Giachini, Daniele & Ottaviani, Matteo, 2023. "Market selection and learning under model misspecification," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
    46. Hsini Mosbeh & Kouki Mondher, 2016. "The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 13-29, December.
    47. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    48. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
    49. Xi Chen & Robert Kohn, 2011. "Asset price bubbles from heterogeneous beliefs about mean reversion rates," Finance and Stochastics, Springer, vol. 15(2), pages 221-241, June.
    50. Brock Mendel & Andrei Shleifer, "undated". "Chasing Noise," Working Paper 19517, Harvard University OpenScholar.
    51. Stambaugh, Robert F. & Pástor, Luboš, 2010. "On the Size of the Active Management Industry," CEPR Discussion Papers 7637, C.E.P.R. Discussion Papers.
    52. Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009. "Market Selection," 2009 Meeting Papers 274, Society for Economic Dynamics.
    53. Andreas Fuster & David Laibson & Brock Mendel, 2010. "Natural Expectations and Macroeconomic Fluctuations," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 67-84, Fall.
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    55. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    56. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    57. Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
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    76. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
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    81. Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian, 2022. "Volatility forecasting with machine learning and intraday commonality," Papers 2202.08962, arXiv.org, revised Feb 2023.
    82. Thomas J Brennan & Andrew W Lo, 2012. "An Evolutionary Model of Bounded Rationality and Intelligence," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-8, November.
    83. Sayim, Mustafa & Rahman, Hamid, 2015. "An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market," Global Finance Journal, Elsevier, vol. 26(C), pages 1-17.
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    85. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    86. Dan Vu Cao, 2010. "Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs," 2010 Meeting Papers 1233, Society for Economic Dynamics.
    87. Kendall, Chad & Oprea, Ryan, 2018. "Are biased beliefs fit to survive? An experimental test of the market selection hypothesis," Journal of Economic Theory, Elsevier, vol. 176(C), pages 342-371.
    88. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
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    90. Cvitanic, Jaksa & Malamud, Semyon, 2011. "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, vol. 100(1), pages 201-225, April.
    91. Felix KUBLER & Karl SCHMEDDERS, 2010. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," Swiss Finance Institute Research Paper Series 10-21, Swiss Finance Institute.
    92. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
    93. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
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    95. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    96. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
    97. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
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  17. Kogan, Leonid & Haugh, Martin & Wang, Jiang, 2003. "Evaluating Portfolio Policies: A Duality Approach," Working papers 4329-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.

    Cited by:

    1. Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
    2. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
    3. Paolo Guasoni & Gu Wang, 2020. "Consumption in incomplete markets," Finance and Stochastics, Springer, vol. 24(2), pages 383-422, April.
    4. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    5. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
    6. David B. Brown & James E. Smith, 2011. "Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds," Management Science, INFORMS, vol. 57(10), pages 1752-1770, October.
    7. Michele Longo & Alessandra Mainini, 2017. "Welfare effects of information and rationality in portfolio decisions under parameter uncertainty," Papers 1709.04387, arXiv.org.
    8. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
    9. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
    10. Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October.
    11. Cheng-Der Fuh & Yanwei Jia & Steven Kou, 2023. "A General Framework for Importance Sampling with Latent Markov Processes," Papers 2311.12330, arXiv.org.
    12. Kasper Larsen & Oleksii Mostovyi & Gordan v{Z}itkovi'c, 2014. "An expansion in the model space in the context of utility maximization," Papers 1410.0946, arXiv.org, revised Aug 2016.
    13. Min Dai & Steven Kou & Shuaijie Qian & Xiangwei Wan, 2022. "Nonconcave Utility Maximization with Portfolio Bounds," Management Science, INFORMS, vol. 68(11), pages 8368-8385, November.
    14. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
    15. Snezhana Kirusheva & Thomas S. Salisbury, 2023. "A greedy algorithm for habit formation under multiplicative utility," Papers 2305.04748, arXiv.org.

  18. Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.

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    1. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    2. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    3. Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
    4. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
    5. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
    6. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    7. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    8. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
    9. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    10. Dunbar, Kwamie, 2021. "Pricing the hedging factor in the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    11. Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022. "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, vol. 229(2), pages 363-395.
    12. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    13. Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
    14. Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
    15. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
    16. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
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    39. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
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    44. Joel Vanden, 2015. "Noisy information and the size effect in stock returns," Annals of Finance, Springer, vol. 11(1), pages 77-107, February.
    45. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    46. Jiang, Fuxiu & Kim, Kenneth A. & Nofsinger, John R. & Zhu, Bing, 2015. "Product market competition and corporate investment: Evidence from China," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 196-210.
    47. Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009. "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers 140, Society for Economic Dynamics.
    48. Long Chen & Ralitsa Petkova & Lu Zhang, 2006. "The Expected Value Premium," NBER Working Papers 12183, National Bureau of Economic Research, Inc.
    49. Adrian Lei & Martin Yick & Keith Lam, 2013. "Does tax convexity matter for risk? A dynamic study of tax asymmetry and equity beta," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 131-147, July.
    50. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
    51. Robert D. Arnott & Jason C. Hsu & Jun Liu & Harry Markowitz, 2015. "Can Noise Create the Size and Value Effects?," Management Science, INFORMS, vol. 61(11), pages 2569-2579, November.
    52. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    53. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
    54. Lukas Schmid & Joao Gomes, 2009. "Equilibrium Credit Spreads and the Macroeconomy," 2009 Meeting Papers 1109, Society for Economic Dynamics.
    55. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
    56. José Fillat & Stefania Garetto, 2021. "On the Origins of the Multinational Premium," Working Papers 21-20, Federal Reserve Bank of Boston.
    57. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5285-5299.
    58. Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
    59. Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015. "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 133-148.
    60. Guo, Bin & Huang, Fuzhe & Li, Kai, 2020. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    61. Mohsen Saad & Zaher Zantout, 2014. "Over-investment in corporate R&D, risk, and stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 438-460, July.
    62. Ayse Imrohoroglu & Selale Tuzel, 2011. "Firm Level Productivity, Risk, and Return," 2011 Meeting Papers 21, Society for Economic Dynamics.
    63. Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
    64. Francois Gourio, 2005. "Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns," 2005 Meeting Papers 66, Society for Economic Dynamics.
    65. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    66. Lars Kuehn & David Schreindorfer & Cedric Ehouarne, 2016. "Misallocation Cycles," 2016 Meeting Papers 1482, Society for Economic Dynamics.
    67. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    68. Gilbert V. Nartea & Hengyu Bai & Ji Wu, 2019. "Investor Sentiment and the Economic Policy Uncertainty Premium," Working Papers in Economics 19/14, University of Canterbury, Department of Economics and Finance.
    69. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.
    70. John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
    71. Mirza Muhammad Naseer & Muhammad Asif Khan & József Popp & Judit Oláh, 2021. "Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector," JRFM, MDPI, vol. 14(5), pages 1-18, April.
    72. Francois Gourio, 2006. "Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," 2006 Meeting Papers 846, Society for Economic Dynamics.
    73. Joao Gomes & Amir Yaron & Lu Zhang, 2002. "Asset Pricing Implications of Firms' Financing Constraints," NBER Working Papers 9365, National Bureau of Economic Research, Inc.
    74. Tobias Adrian & Joshua V. Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York.
    75. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
    76. Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
    77. Gwangheon Hong & Sudipto Sarkar, 2007. "Equity Systematic Risk (Beta) and Its Determinants," Contemporary Accounting Research, John Wiley & Sons, vol. 24(2), pages 423-466, June.
    78. Georgia Pazarzi & John Sorros, 2018. "The Effect of R&D Expenses on Earnings and Market Value," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(2-3), pages 39-47, April-Sep.
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    3. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics.
    4. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
    5. Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 361-407.
    6. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    7. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    8. Issouf Soumaré, 2007. "Equilibrium With Excessive Holdings Constraint: An Application To Dc Pension Plans," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(07), pages 1159-1190.
    9. Mao-Wei Hung & Hsiao-Yuan Yu, 2006. "A heterogeneous model of disposition effect," Applied Economics, Taylor & Francis Journals, vol. 38(18), pages 2147-2157.
    10. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    11. Mao-Wei Hung & Mei-Lan Lo & Hsiao-Yuan Yu, 2010. "On the currency effect to home bias puzzle," Applied Economics Letters, Taylor & Francis Journals, vol. 17(8), pages 815-822.
    12. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    13. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers halshs-00590775, HAL.
    14. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    15. Mele, Antonio, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
    16. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.
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    18. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
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    20. Zequn Li & Agnès Tourin, 2022. "A Finite Difference Scheme for Pairs Trading with Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 601-632, August.
    21. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers 636, Institut d'Économie Industrielle (IDEI), Toulouse.
    22. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
    23. Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
    24. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
    25. Alan Kraus & Amir Rubin, 2003. "The Effect of Short Sale Constraint Removal on Volatility in the Presence of Heterogeneous Beliefs," International Review of Finance, International Review of Finance Ltd., vol. 4(3‐4), pages 171-188, September.
    26. Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2010. "A structural analysis of the health expenditures and portfolio choices of retired agents," Swiss Finance Institute Research Paper Series 10-29, Swiss Finance Institute.
    27. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
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    29. Kasper Larsen & Oleksii Mostovyi & Gordan v{Z}itkovi'c, 2014. "An expansion in the model space in the context of utility maximization," Papers 1410.0946, arXiv.org, revised Aug 2016.
    30. Paolo Porchia & Pedro Gete, 2011. "Fertility and Consumption when Having a Child is a Risky Investment," 2011 Meeting Papers 563, Society for Economic Dynamics.
    31. Lars Peter Hansen & Anastasios G. Karantounias & Thomas J. Sargent, 2009. "Managing expectations and fiscal policy," FRB Atlanta Working Paper 2009-29, Federal Reserve Bank of Atlanta.
    32. Gollier, Christian, 2007. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 430, Institut d'Économie Industrielle (IDEI), Toulouse.
    33. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
    34. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
    35. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CESifo Working Paper Series 8250, CESifo.
    36. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
    37. Farhi, Emmanuel & Panageas, Stavros, 2007. "Saving and investing for early retirement: A theoretical analysis," Journal of Financial Economics, Elsevier, vol. 83(1), pages 87-121, January.

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    Cited by:

    1. A, Bizid & Elyès Jouini & Pf. Koehl, 1997. "Pricing of Non-redundant Derivatives in a Complete Market," Working Papers 97-51, Center for Research in Economics and Statistics.
    2. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    3. Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
    4. D. G. Luenberger, 2004. "Pricing a Nontradeable Asset and Its Derivatives," Journal of Optimization Theory and Applications, Springer, vol. 121(3), pages 465-487, June.
    5. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "An approximation algorithm for optimal consumption/investment problems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 55-69, April.
    6. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.

  21. Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
    2. Adriaan R. Soetevent, 2006. "Empirics of the Identification of Social Interactions; An Evaluation of the Approaches and Their Results," Journal of Economic Surveys, Wiley Blackwell, vol. 20(2), pages 193-228, April.
    3. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2019. "The fight-or-flight response to the Joneses and inequality," ISU General Staff Papers 201904010700001060, Iowa State University, Department of Economics.
    4. Stavros Panageas & Nicolae Garleanu, 2008. "Yooung, Old, Conservative and Bold: The implications of finite lives and heterogeneity for asset prices," 2008 Meeting Papers 409, Society for Economic Dynamics.
    5. Achury, Carolina & Hubar, Sylwia & Koulovatianos, Christos, 2011. "Saving rates and portfolio choice with subsistence consumption," CFS Working Paper Series 2011/06, Center for Financial Studies (CFS).
    6. Fatih Guvenen, 2011. "Macroeconomics with hetereogeneity : a practical guide," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(3Q), pages 255-326.
    7. Roy, Saktinil & Kemme, David M., 2012. "Causes of banking crises: Deregulation, credit booms and asset bubbles, then and now," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 270-294.
    8. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    9. Hui Guo & Zijun Wang & Jian Yang, 2013. "Time‐Varying Risk–Return Trade‐off in the Stock Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 623-650, June.
    10. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    11. Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
    12. Chue, Timothy K., 2002. "Time-varying risk preferences and emerging market co-movements," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 1053-1072, December.
    13. Robert J. Barro, 2014. "Safe Assets," Working Papers 2014-28, Economic Research Institute, Bank of Korea.
      • Robert J Barro & Jesús Fernández-Villaverde & Oren Levintal & Andrew Mollerus, 2022. "Safe Assets," The Economic Journal, Royal Economic Society, vol. 132(646), pages 2075-2100.
      • Robert J. Barro & Jesús Fernández-Villaverde & Oren Levintal & Andrew Mollerus, 2014. "Safe Assets," NBER Working Papers 20652, National Bureau of Economic Research, Inc.
      • Fernández-Villaverde, Jesús & Barro, Robert & Levintal, Oren & Mollerus, Andrew, 2017. "Safe Assets," CEPR Discussion Papers 12043, C.E.P.R. Discussion Papers.
      • Robert Barro & Jesus Fernandez-Villaverde & Oren Levintal & Andrew Mollerus, 2017. "Safe Assets," PIER Working Paper Archive 17-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 May 2017.
    14. Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2018. "Limited Asset Market Participation and the Euro Area Crisis. An Empirical DSGE Model," Working Papers 391, University of Milano-Bicocca, Department of Economics, revised Nov 2018.
    15. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
    16. Vayanos, Dimitri & Kondor, Péter, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers 9885, C.E.P.R. Discussion Papers.
    17. Kabderian Dreyer, Johannes & Sharma, Vivek & Smith, William, 2023. "Warm-glow investment and the underperformance of green stocks," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 546-570.
    18. Uppal, Raman & Kogan, Leonid, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
    19. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
    20. Miles S. Kimball & Matthew D. Shapiro & Tyler Shumway & Jing Zhang, 2018. "Portfolio Rebalancing in General Equilibrium," NBER Working Papers 24722, National Bureau of Economic Research, Inc.
    21. Krainer, Robert E., 2013. "Towards a program for financial stability," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 207-218.
    22. Shoka Hayaki, 2020. "Bilateral Integration Measures and Risk Attitudes in Large Stock Markets," Discussion Paper Series DP2020-32, Research Institute for Economics & Business Administration, Kobe University.
    23. Robert Östling & Erik Lindqvist & David Cesarini & Joseph Briggs, 2016. "Wealth, Portfolio Allocations, and Risk Preference," 2016 Meeting Papers 1089, Society for Economic Dynamics.
    24. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    25. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
    26. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
    27. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
    28. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    29. Franke, Günter & Lüders, Erik, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Papers 04/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    30. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
    31. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
    32. Park, Sangkyun, 2009. "Portfolio choice when relative income matters," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 38(3), pages 530-533, June.
    33. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    34. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2019. "Response of the Macroeconomy to Uncertainty Shocks:the Risk Premium Channel," 2019 Meeting Papers 1567, Society for Economic Dynamics.
    35. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    36. ÅžimÅŸek, Alp & Caballero, Ricardo, 2020. "A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a "Covid-19" Shock," CEPR Discussion Papers 14627, C.E.P.R. Discussion Papers.
    37. Gonzalo, Jesús & Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
    38. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers 872, Society for Economic Dynamics.
    39. Nicolae Gârleanu & Stavros Panageas, 2015. "Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 123(3), pages 670-685.
    40. Toda, Alexis Akira & Walsh, Kieran James, 2014. "The Equity Premium and the One Percent," MPRA Paper 79009, University Library of Munich, Germany, revised 28 Feb 2017.
    41. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    42. Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2007. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper 323, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    43. Motohiro Yogo & Jessica Wachter, 2007. "Why do Household Portfolio Shares Rise in Wealth?," 2007 Meeting Papers 929, Society for Economic Dynamics.
    44. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
    45. Martin, Ian & Papadimitriou, Dimitris, 2019. "Sentiment and speculation in a market with heterogeneous beliefs," LSE Research Online Documents on Economics 118936, London School of Economics and Political Science, LSE Library.
    46. C. Jennings & H.J. Roelfsema, 2004. "Conspicuous Public Goods and Leadership Selection," Working Papers 04-10, Utrecht School of Economics.
    47. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
    48. Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2014. "Estimating a DSGE model with Limited Asset Market Participation for the Euro Area," Working Papers 286, University of Milano-Bicocca, Department of Economics, revised Nov 2014.
    49. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    50. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    51. Dianetti, Jodi & Riedel, Frank & Stanza, Lorenzo, 2024. "Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility," Center for Mathematical Economics Working Papers 685, Center for Mathematical Economics, Bielefeld University.
    52. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    53. Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
    54. Costas Xiouros, 2006. "Asset price volatilities and trading volumes in heterogeneous agent economies," Computing in Economics and Finance 2006 466, Society for Computational Economics.
    55. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Positional preferences in time and space: Optimal income taxation with dynamic social comparisons," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 1-23.
    56. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
    57. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
    58. Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-45.
    59. Jean-Michel Grandmont, 2017. "Behavioral Heterogeneity : Pareto Distributions of Homothetic Preference Scales and Aggregate Expenditures Income Elasticities," Working Papers 2017-11, Center for Research in Economics and Statistics.
    60. Weinbaum, David, 2009. "Investor heterogeneity, asset pricing and volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 33(7), pages 1379-1397, July.
    61. Yuming Li & Maosen Zhong, 2009. "International asset returns and exchange rates," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 263-285.
    62. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
    63. Smith, William T. & Zhang, Qiang, 2007. "Asset pricing with multiplicative habit and power-expo preferences," Economics Letters, Elsevier, vol. 94(3), pages 319-325, March.
    64. Ralph S. J. Koijen & Motohiro Yogo, 2021. "The Evolution from Life Insurance to Financial Engineering," NBER Working Papers 29030, National Bureau of Economic Research, Inc.
    65. Semyon Malamud, 2008. "Universal bounds for asset prices in heterogeneous economies," Finance and Stochastics, Springer, vol. 12(3), pages 411-422, July.
    66. Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
    67. Mele, Antonio, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
    68. David S. Bates, 2001. "The Market for Crash Risk," NBER Working Papers 8557, National Bureau of Economic Research, Inc.
    69. Bates, David S., 2008. "The market for crash risk," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2291-2321, July.
    70. Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2009. "Health and (other) Asset Holdings," Swiss Finance Institute Research Paper Series 09-18, Swiss Finance Institute.
    71. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011. "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Online Appendices 10-11, Review of Economic Dynamics.
    72. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms' foreign investment decisions?," Working Paper Series 815, European Central Bank.
    73. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    74. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "Social Decision Theory: Choosing within and between Groups," Carlo Alberto Notebooks 71, Collegio Carlo Alberto.
    75. Paul Beaudry & Amartya Lahiri, 2014. "The Allocation of Aggregate Risk, Secondary Market Trades, and Financial Boom–Bust Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(1), pages 1-42, February.
    76. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    77. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers 15243, National Bureau of Economic Research, Inc.
    78. Ralph Koijen & Motohiro Yogo, 2022. "The Fragility of Market Risk Insurance," Working Papers 2022-3, Princeton University. Economics Department..
    79. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
    80. William N. Goetzmann & Sharon Oster, 2012. "Competition Among University Endowments," NBER Working Papers 18173, National Bureau of Economic Research, Inc.
    81. Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
    82. Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
    83. Eduard Dubin & Olesya V. Grishchenko & Vasily Kartashov, 2012. "Habit formation heterogeneity: Implications for aggregate asset pricing," Finance and Economics Discussion Series 2012-07, Board of Governors of the Federal Reserve System (U.S.).
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    85. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1457-1498, October.
    86. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
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    89. Mark Grinblatt & Matti Keloharju & Seppo Ikaheimo, 2004. "Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors," NBER Working Papers 10226, National Bureau of Economic Research, Inc.
    90. Bo Liu & Lei Lu & Congming Mu & Jinqiang Yang, 2021. "Heterogeneous preferences, investment, and asset pricing," Financial Management, Financial Management Association International, vol. 50(4), pages 1169-1193, December.
    91. Franke, Günter & Lüders, Erik, 2006. "Return predictability and stock market crashes in a simple rational expectation models," CoFE Discussion Papers 06/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
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Articles

  1. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2020. "Left Behind: Creative Destruction, Inequality, and the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 128(3), pages 855-906.

    Cited by:

    1. Robin Döttling & Enrico Perotti, 2020. "Secular Trends and Technological Progress," ECONtribute Discussion Papers Series 006, University of Bonn and University of Cologne, Germany.
    2. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
    3. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
    4. Valentin Haddad & Paul Ho & Erik Loualiche, 2022. "Bubbles and the Value of Innovation," NBER Working Papers 29917, National Bureau of Economic Research, Inc.
    5. Hegde, Shantaram P. & Mishra, Dev R., 2023. "Patented knowledge capital and implied equity risk premium," Journal of Banking & Finance, Elsevier, vol. 148(C).
    6. Jackson, Emerson Abraham, 2020. "Fostering Sustainable Innovation through Creative Destruction Theory," MPRA Paper 102174, University Library of Munich, Germany, revised 21 Mar 2020.
    7. Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
    8. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    9. Lubos Pastor & Pietro Veronesi, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," NBER Working Papers 24900, National Bureau of Economic Research, Inc.
    10. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    11. Jiro Kondo & Danielle Li & Dimitris Papanikolaou, 2021. "Trust, Collaboration, and Economic Growth," Management Science, INFORMS, vol. 67(3), pages 1825-1850, March.
    12. Nicolas Crouzet & Janice C. Eberly & Andrea L. Eisfeldt & Dimitris Papanikolaou, 2022. "The Economics of Intangible Capital," Journal of Economic Perspectives, American Economic Association, vol. 36(3), pages 29-52, Summer.
    13. Knesl, Jiří, 2023. "Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 147(2), pages 271-296.
    14. Matthieu Gomez & Émilien Gouin‐Bonenfant, 2024. "Wealth Inequality in a Low Rate Environment," Econometrica, Econometric Society, vol. 92(1), pages 201-246, January.

  2. Leonid Kogan & Dimitris Papanikolaou & Amit Seru & Noah Stoffman, 2017. "Technological Innovation, Resource Allocation, and Growth," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 665-712.
    See citations under working paper version above.
  3. Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
    See citations under working paper version above.
  4. Leonid Kogan & Dimitris Papanikolaou, 2014. "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(2), pages 675-718, April.
    See citations under working paper version above.
  5. Leonid Kogan & Dimitris Papanikolaou, 2013. "Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," The Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2718-2759.

    Cited by:

    1. Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P., 2015. "Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 23-37.
    2. Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019. "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 162-178.
    3. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
    4. Liu, Siqi & Yin, Chao & Zeng, Yeqin, 2021. "Abnormal investment and firm performance," International Review of Financial Analysis, Elsevier, vol. 78(C).
    5. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
    6. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
    7. Chun, Hyunbae & Kim, Jung-Wook & Lee, Jason, 2015. "How does information technology improve aggregate productivity? A new channel of productivity dispersion and reallocation," Research Policy, Elsevier, vol. 44(5), pages 999-1016.
    8. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    9. Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020. "Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime," FRB Atlanta Working Paper 2020-19, Federal Reserve Bank of Atlanta.
    10. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
    11. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    12. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    13. Tseng, Kevin, 2022. "Learning from the Joneses: Technology spillover, innovation externality, and stock returns," Journal of Accounting and Economics, Elsevier, vol. 73(2).
    14. Hang Bai & Kewei Hou & Howard Kung & Lu Zhang, 2015. "The CAPM Strikes Back? An Investment Model with Disasters," NBER Working Papers 21016, National Bureau of Economic Research, Inc.
    15. Leo Vashkor Dewri, 2022. "A Critical Assessment of Interrelationship Among Corporate Governance, Financial Performance, Refined Economic Value Added to Measure Firm Value and Return on Stock," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(4), pages 2718-2759, December.
    16. Joel M. David & Lukas Schmid & David Zeke, 2020. "Risk-Adjusted Capital Allocation and Misallocation," Working Paper Series WP-2020-34, Federal Reserve Bank of Chicago.
    17. Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
    18. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
    19. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    20. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
    21. Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
    22. Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
    23. Erica X. N. Li & Haitao Li & Shujing Wang & Shujing Wang, 2019. "Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model," Management Science, INFORMS, vol. 65(8), pages 3585-3604, August.
    24. Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
    25. Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
    26. Po‐Hsuan Hsu & Kai Li & Chi‐Yang Tsou, 2023. "The Pollution Premium," Journal of Finance, American Finance Association, vol. 78(3), pages 1343-1392, June.
    27. Po‐Hsuan Hsu & Huijun Wang & Wei Yang, 2022. "General Purpose Technologies as Systematic Risk in Global Stock Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1141-1173, August.
    28. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "The effect of interconnectivity on stock returns during the Global Financial Crisis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    29. Nusrat Jahan & John J. Cheh & Il-woon Kim, 2016. "A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(1), pages 43-54, February.
    30. Chen-Yin Kuo, 2017. "Is the accuracy of stock value forecasting relevant to industry factors or firm-specific factors? An empirical study of the Ohlson model," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 195-225, July.
    31. Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
    32. Muhammad Adnan Arshad & Saira Munir & Bashir Ahmad & Muhammad Waseem, 2019. "Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-16, June.
    33. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
    34. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    35. Frank, Murray Z. & Shen, Tao, 2016. "Investment and the weighted average cost of capital," Journal of Financial Economics, Elsevier, vol. 119(2), pages 300-315.
    36. Kewei Hou & Chen Xue & Lu Zhang, 2017. "Replicating Anomalies," NBER Working Papers 23394, National Bureau of Economic Research, Inc.
    37. Lars A. Lochstoer & Paul C. Tetlock, 2020. "What Drives Anomaly Returns?," Journal of Finance, American Finance Association, vol. 75(3), pages 1417-1455, June.
    38. Akhtaruzzaman, Md & Chiah, Mardy & Docherty, Paul & Zhong, Angel, 2021. "Betting against bank profitability," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 304-323.
    39. Kyung Shim & Harjoat Bhamra, 2015. "Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns," 2015 Meeting Papers 1494, Society for Economic Dynamics.
    40. Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017. "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, vol. 168(C), pages 400-431.
    41. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
    42. Hyunbae Chun & Jung-Wook Kim & Randall Morck, 2016. "Productivity growth and stock returns: firm- and aggregate-level analyses," Applied Economics, Taylor & Francis Journals, vol. 48(38), pages 3644-3664, August.
    43. Knesl, Jiří, 2023. "Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 147(2), pages 271-296.
    44. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
    45. Dev R. Mishra, 2023. "Firm‐level political risk and implied cost of equity capital," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 615-644, September.
    46. Lorenzo Garlappi & Zhongzhi Song, 2017. "Can Investment Shocks Explain the Cross Section of Equity Returns?," Management Science, INFORMS, vol. 63(11), pages 3829-3848, November.
    47. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
    48. Ronald J. Balvers & Li Gu & Dayong Huang, 2017. "Profitability, Value, and Stock Returns in Production‐Based Asset Pricing without Frictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1621-1651, October.
    49. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    50. Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.

  6. Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.

    Cited by:

    1. Huszár, Zsuzsa R. & Tan, Ruth S.K. & Zhang, Weina, 2017. "Do short sellers exploit industry information?," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 118-139.
    2. Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
    3. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
    4. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
    5. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    6. Valentin Haddad & Paul Ho & Erik Loualiche, 2022. "Bubbles and the Value of Innovation," NBER Working Papers 29917, National Bureau of Economic Research, Inc.
    7. Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
    8. Chun, Hyunbae & Kim, Jung-Wook & Lee, Jason, 2015. "How does information technology improve aggregate productivity? A new channel of productivity dispersion and reallocation," Research Policy, Elsevier, vol. 44(5), pages 999-1016.
    9. Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
    10. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    11. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    12. Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports 703, Federal Reserve Bank of New York.
    13. François Le Grand & Xavier Ragot, 2018. "A Class of Tractable Incomplete-Market Models for Studying Asset Returns and Risk Exposure," Post-Print hal-03949545, HAL.
    14. Roger E. A. Farmer, 2018. "Pricing Assets in a Perpetual Youth Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 106-124, October.
    15. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
    16. Miyoshi, Yoshiyuki & Toda, Alexis Akira, 2017. "Growth effects of annuities and government transfers in perpetual youth models," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 1-6.
    17. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    18. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2019. "Sustainable Investing in Equilibrium," NBER Working Papers 26549, National Bureau of Economic Research, Inc.
    19. Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
    20. St¨¦phane Chr¨¦tien & Manel Kammoun, 2019. "Mutual Fund Styles and Clientele-Specific Performance Evaluation," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(12), pages 1-89, December.
    21. Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
    22. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    23. Machokoto, Michael & Tanveer, Umair & Ishaq, Shamaila & Areneke, Geofry, 2021. "Decreasing investment-cash flow sensitivity: Further UK evidence," Finance Research Letters, Elsevier, vol. 38(C).
    24. Coy, Jeffrey M. & Garcia-Feijoo, Luis, 2022. "Growth options, risk dynamics, and cost of capital: Evidence from U.S. corporate control transactions," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 562-576.
    25. Po‐Hsuan Hsu & Kai Li & Chi‐Yang Tsou, 2023. "The Pollution Premium," Journal of Finance, American Finance Association, vol. 78(3), pages 1343-1392, June.
    26. Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
    27. Grammig, Joachim G. & Jank, Stephan, 2010. "Creative destruction and asset prices," CFR Working Papers 10-14, University of Cologne, Centre for Financial Research (CFR).
    28. Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
    29. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
    30. Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    31. Chung, Chune Young & Liu, Chang & Wang, Kainan, 2021. "The big picture: The industry effect of short interest," International Review of Financial Analysis, Elsevier, vol. 76(C).
    32. Roger E.A. Farmer, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," NBER Working Papers 20831, National Bureau of Economic Research, Inc.
    33. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    34. Matthieu Gomez, 2017. "Asset Prices and Wealth Inequality," 2017 Meeting Papers 1155, Society for Economic Dynamics.
    35. Hyunbae Chun & Jung-Wook Kim & Randall Morck, 2016. "Productivity growth and stock returns: firm- and aggregate-level analyses," Applied Economics, Taylor & Francis Journals, vol. 48(38), pages 3644-3664, August.
    36. Ai, Hengjie & Li, Jun E. & Li, Kai & Schlag, Christian, 2019. "The collateralizability premium," SAFE Working Paper Series 264, Leibniz Institute for Financial Research SAFE.
    37. Knesl, Jiří, 2023. "Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 147(2), pages 271-296.
    38. Jank, Stephan, 2015. "Specialized human capital, unemployment risk, and the value premium," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113214, Verein für Socialpolitik / German Economic Association.
    39. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    40. Tang, Chang & Xue, Yan & Wu, Haitao & Irfan, Muhammad & Hao, Yu, 2022. "How does telecommunications infrastructure affect eco-efficiency? Evidence from a quasi-natural experiment in China," Technology in Society, Elsevier, vol. 69(C).
    41. Garlappi, Lorenzo & Song, Zhongzhi, 2017. "Capital utilization, market power, and the pricing of investment shocks," Journal of Financial Economics, Elsevier, vol. 126(3), pages 447-470.
    42. Arpit Gupta & Vrinda Mittal & Stijn Van Nieuwerburgh, 2022. "Work From Home and the Office Real Estate Apocalypse," NBER Working Papers 30526, National Bureau of Economic Research, Inc.
    43. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    44. Cronqvist, Henrik & Siegel, Stephan & Yu, Frank, 2015. "Value versus growth investing: Why do different investors have different styles?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 333-349.
    45. Aydoğan Alti & Sheridan Titman, 2019. "A Dynamic Model of Characteristic-Based Return Predictability," NBER Working Papers 25777, National Bureau of Economic Research, Inc.

  7. Leonid Kogan & Dimitris Papanikolaou, 2012. "Economic Activity of Firms and Asset Prices," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 361-384, October.

    Cited by:

    1. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    2. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
    3. Dimitris Papanikolaou & Brett Green & William Fuchs, 2014. "Adverse Selection, Slow Moving Capital and Misallocation," 2014 Meeting Papers 124, Society for Economic Dynamics.
    4. Philip Bond & Alex Edmans & Itay Goldstein, 2011. "The Real Effects of Financial Markets," NBER Working Papers 17719, National Bureau of Economic Research, Inc.
    5. Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
    6. Guo, Bin & Huang, Fuzhe & Li, Kai, 2020. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    7. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
    8. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    9. Kai Li & Fang Yang & Hengjie Ai, 2015. "Financial Intermediation and Capital Reallocation," 2015 Meeting Papers 429, Society for Economic Dynamics.
    10. Alex Hsu & Indrajit Mitra & Linghang Zeng, 2023. "The Profitability Channel of Monetary Policy Transmission," FRB Atlanta Working Paper 2023-06, Federal Reserve Bank of Atlanta.
    11. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    12. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    13. Zhang, Xiaoge, 2022. "Belief-driven growth slowdowns and zero-bounded risk-free rate," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    14. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    15. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    16. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    17. Alex Hsu & Indrajit Mitra & Linghang Zeng, 2023. "The Profitability Channel of Monetary Policy Transmission," FRB Atlanta Working Paper 2023-06, Federal Reserve Bank of Atlanta.
    18. Ai, Hengjie & Li, Jun E. & Li, Kai & Schlag, Christian, 2019. "The collateralizability premium," SAFE Working Paper Series 264, Leibniz Institute for Financial Research SAFE.
    19. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    20. Mihaela-Cristina Onica & Jalba Silvia & Nedelcu Andreea - Izabela, 2015. "Comparative Analysis Regarding The Study Of The Financial Balance Of Companies Listed On The Stock Market," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 509-525.
    21. Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.

  8. Mozaffar Khan & Leonid Kogan & George Serafeim, 2012. "Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs," Journal of Finance, American Finance Association, vol. 67(4), pages 1371-1395, August.

    Cited by:

    1. Alexandridis, George & Chen, Zhong & Zeng, Yeqin, 2021. "Financial hedging and corporate investment," Journal of Corporate Finance, Elsevier, vol. 67(C).
    2. Peter Cziraki & Evgeny Lyandres & Roni Michaely, 2019. "What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs," Swiss Finance Institute Research Paper Series 19-11, Swiss Finance Institute, revised Mar 2019.
    3. Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
    4. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
    5. Brockman, Paul & Luo, Juan & Xu, Limin, 2020. "The impact of short-selling pressure on corporate employee relations," Journal of Corporate Finance, Elsevier, vol. 64(C).
    6. Nicola Branzoli & Giovanni Guazzarotti, 2017. "Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds," Temi di discussione (Economic working papers) 1113, Bank of Italy, Economic Research and International Relations Area.
    7. Jiang, Jinglin & Nanda, Vikram & Xiao, Steven Chong, 2021. "Stock-market disruptions and corporate disclosure policies," Journal of Corporate Finance, Elsevier, vol. 66(C).
    8. Khan, Mozaffar & Vyas, Dushyantkumar, 2015. "The Capital Purchase Program and subsequent bank SEOs," Journal of Financial Stability, Elsevier, vol. 18(C), pages 91-105.
    9. Li, Frank Weikai & Sun, Chengzhu, 2022. "Information acquisition and expected returns: Evidence from EDGAR search traffic," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
    10. Tor‐Erik Bakke & Hamed Mahmudi & Ashley Newton, 2020. "Performance peer groups in CEO compensation contracts," Financial Management, Financial Management Association International, vol. 49(4), pages 997-1027, December.
    11. Grill, Michael & Molestina Vivar, Luis & Wedow, Michael, 2022. "Mutual fund suspensions during the COVID-19 market turmoil - asset liquidity, liquidity management tools and spillover effects," Finance Research Letters, Elsevier, vol. 50(C).
    12. Haoyi Yang & Shikong Luo, 2023. "A dark side to options trading? Evidence from corporate default risk," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 531-564, February.
    13. Outlaw, Dominique, 2023. "Frenzied buyers and sophisticated sellers: How short sellers trade individual investors’ most purchased stocks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    14. Qifei Zhu, 2020. "The Missing New Funds," Management Science, INFORMS, vol. 66(3), pages 1193-1204, March.
    15. Giuseppe Galloppo, 2021. "Size," Springer Books, in: Asset Allocation Strategies for Mutual Funds, chapter 0, pages 151-190, Springer.
    16. Jae B. Kim, 2016. "Accounting flexibility and managers’ forecast behavior prior to seasoned equity offerings," Review of Accounting Studies, Springer, vol. 21(4), pages 1361-1400, December.
    17. Agapova, Anna & Volkov, Nikanor, 2019. "Guidance on strategic information: Investor-management disagreement and firm intrinsic value," Journal of Banking & Finance, Elsevier, vol. 108(C).
    18. Feng, Felix Zhiyu & Xu, Qiping & Zhu, Caroline H., 2021. "Caught in the crossfire: How the threat of hedge fund activism affects creditors," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 128-143.
    19. Stambaugh, Robert F. & Pástor, Luboš & Taylor, Lucian, 2014. "Scale and Skill in Active Management," CEPR Discussion Papers 9854, C.E.P.R. Discussion Papers.
    20. Johan Sulaeman & Kelsey D. Wei, 2019. "Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure," Management Science, INFORMS, vol. 65(11), pages 5427-5448, November.
    21. Huang, Sheng & Maharjan, Johan & Thakor, Anjan V., 2020. "Disagreement-induced CEO turnover," Journal of Financial Intermediation, Elsevier, vol. 43(C).
    22. Edelen, Roger M. & Ince, Ozgur S. & Kadlec, Gregory B., 2016. "Institutional investors and stock return anomalies," Journal of Financial Economics, Elsevier, vol. 119(3), pages 472-488.
    23. Chen, Yi-Wen & Chou, Robin K. & Lin, Chu-Bin, 2019. "Investor sentiment, SEO market timing, and stock price performance," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 28-43.
    24. Steven Chong Xiao, 2020. "Do Noisy Stock Prices Impede Real Efficiency?," Management Science, INFORMS, vol. 66(12), pages 5990-6014, December.
    25. Gao, Meng & Huang, Jiekun, 2016. "Capitalizing on Capitol Hill: Informed trading by hedge fund managers," Journal of Financial Economics, Elsevier, vol. 121(3), pages 521-545.
    26. Hu, Shing-yang & Lin, Yueh-Hsiang & Lai, Christine W., 2016. "The effect of overvaluation on investment and accruals: The role of information," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 181-201.
    27. Cook, Douglas O. & Luo, Shikong (Scott), 2023. "Fund flow-induced volatility and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 146(C).
    28. Antonio Falato & Ali Hortaçsu & Dan Li & Chaehee Shin, 2021. "Fire‐Sale Spillovers in Debt Markets," Journal of Finance, American Finance Association, vol. 76(6), pages 3055-3102, December.
    29. Mohammed Benlemlih & Jingwen Ge & Sujiao Zhao, 2021. "Undervaluation and non‐financial information: Evidence from voluntary disclosure of CSR news," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(5-6), pages 785-814, May.
    30. Benzion, Uri & Galil, Koresh & Lahav, Eyal & Shapir, Offer Moshe, 2018. "Debt composition and lax screening in the corporate bond market," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 178-189.
    31. Autore, Don M. & Hutton, Irena & Jiang, Danling & Outlaw, Dominque G., 2018. "Short interest as a signal to issue equity," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 797-815.
    32. Chen, Sheng-Syan & Hsu, Ching-Yu & Huang, Chia-Wei, 2016. "The white squire defense: Evidence from private investments in public equity," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 16-35.
    33. Dittmar, Amy & Duchin, Ran & Zhang, Shuran, 2020. "The timing and consequences of seasoned equity offerings: A regression discontinuity approach," Journal of Financial Economics, Elsevier, vol. 138(1), pages 254-276.
    34. Jun Kyung Auh & Jennie Bai, 2020. "Cross-Asset Information Synergy in Mutual Fund Families," NBER Working Papers 26626, National Bureau of Economic Research, Inc.
    35. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
    36. Uri Benzion & Eyal Lahav & Koresh Galil, 2015. "Debt composition and lax screening in the Israel corporate bond market," Working Papers 1504, Ben-Gurion University of the Negev, Department of Economics.
    37. Derrien, François & Frésard, Laurent & Slabik, Victoria & Valta, Philip, 2023. "Industry asset revaluations around public and private acquisitions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 243-269.
    38. Sun, Qian & Cheng, Xiaoke & Gao, Shenghao & Chen, Tao & Liu, Jia, 2023. "Sunshine-induced mood and SEO pricing: Evidence from detailed investor bids in SEO auctions," Journal of Corporate Finance, Elsevier, vol. 80(C).
    39. Choi, Jaewon & Hoseinzade, Saeid & Shin, Sean Seunghun & Tehranian, Hassan, 2020. "Corporate bond mutual funds and asset fire sales," Journal of Financial Economics, Elsevier, vol. 138(2), pages 432-457.
    40. Oesch, David & Schuette, Dustin & Walter, Ingo, 2014. "Real Effects of Investment Banking Relationships: Evidence from the Financial Crisis," Working Papers on Finance 1405, University of St. Gallen, School of Finance, revised Aug 2015.
    41. Rohleder, Martin & Wilkens, Marco & Zink, Jonas, 2022. "The effects of mutual fund decarbonization on stock prices and carbon emissions," Journal of Banking & Finance, Elsevier, vol. 134(C).
    42. Kristian D. Allee & Brian J. Bushee & Tyler J. Kleppe & Andrew T. Pierce, 2022. "Did the Siebel Systems Case Limit the SEC's Ability to Enforce Regulation Fair Disclosure?," Journal of Accounting Research, Wiley Blackwell, vol. 60(4), pages 1235-1291, September.
    43. Liu Yang & Qing Zhou, 2021. "Leverage constraints and corporate financing decisions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5199-5230, December.
    44. Opare, Solomon & Houqe, Muhammad Nurul & van Zijl, Tony, 2020. "IFRS adoption and seasoned equity offering underperformance," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    45. Wagner, Alexander F. & Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano, 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
    46. Bastías, Jaime & Ruiz, José L., 2022. "Equity fire sales and herding behavior in pension funds," Research in International Business and Finance, Elsevier, vol. 62(C).
    47. Huang, Chia-Wei, 2015. "Takeover vulnerability and the credibility of signaling: The case of open-market share repurchases," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 405-417.
    48. Hong Zhu & Qi Zhu, 2016. "Mergers and acquisitions by Chinese firms: A review and comparison with other mergers and acquisitions research in the leading journals," Asia Pacific Journal of Management, Springer, vol. 33(4), pages 1107-1149, December.
    49. Bank for International Settlements, 2019. "Asia-Pacific fixed income markets: evolving structure, participation and pricing," BIS Papers, Bank for International Settlements, number 102.
    50. Chen, Wen, 2021. "Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses," Journal of Financial Markets, Elsevier, vol. 55(C).
    51. Badhani, K.N. & Kumar, Ashish & Vo, Xuan Vinh & Tayde, Mangesh, 2023. "Do institutional investors perform better in emerging markets?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 1041-1056.
    52. Choi, Jaewon & Dasgupta, Amil & Oh, Ji, 2022. "Bond funds and credit risk," LSE Research Online Documents on Economics 118856, London School of Economics and Political Science, LSE Library.
    53. Johan Sulaeman, 2019. "Comments on "The role of different institutional investors in Asia-Pacific bond markets during the taper tantrum"," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 143-145, Bank for International Settlements.
    54. Deng, Xin & Hung, Shengmin & Qiao, Zheng, 2018. "Mutual fund herding and stock price crashes," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 166-184.
    55. Thorburn, Karin S & Eckbo, B Espen & Makaew, Tanakorn, 2017. "Are stock- financed takeovers opportunistic?," CEPR Discussion Papers 11974, C.E.P.R. Discussion Papers.
    56. Gupta, Manu & Prakash, Puneet & Rangan, Nanda K., 2013. "Equity issue-specific versus broad regulatory protections against expropriation risk: International evidence from SEOs," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 146-166.
    57. Balakrishnan, Karthik & Shivakumar, Lakshmanan & Taori, Peeyush, 2021. "Analysts’ estimates of the cost of equity capital," Journal of Accounting and Economics, Elsevier, vol. 71(2).
    58. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.

  9. Leonid Kogan & Dimitris Papanikolaou, 2010. "Growth Opportunities and Technology Shocks," American Economic Review, American Economic Association, vol. 100(2), pages 532-536, May.

    Cited by:

    1. Vasia Panousi & Dimitris Papanikolaou, 2011. "Investment, idiosyncratic risk, and ownership," Finance and Economics Discussion Series 2011-54, Board of Governors of the Federal Reserve System (U.S.).
    2. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    3. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
    4. Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports 703, Federal Reserve Bank of New York.
    5. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    6. Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
    7. Thien Nguyen & Steve Raymond & Lukas Schmid & Mariano Croce, 2016. "Government Debt and the Returns to Innovation," 2016 Meeting Papers 1443, Society for Economic Dynamics.
    8. Croce, Mariano & Ai, Hengjie & Li, Kai & Diercks, Anthony, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    9. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
    10. Kim, Myeong Hyeon & Kim, Young Min & Yang, Kisung, 2022. "Understanding BOXPI — Industry portfolio perspectives," Journal of Asian Economics, Elsevier, vol. 81(C).
    11. Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.

  10. João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.
    See citations under working paper version above.
  11. Leonid Kogan & Dmitry Livdan & Amir Yaron, 2009. "Oil Futures Prices in a Production Economy with Investment Constraints," Journal of Finance, American Finance Association, vol. 64(3), pages 1345-1375, June.
    See citations under working paper version above.
  12. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
    See citations under working paper version above.
  13. Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006. "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, vol. 61(1), pages 195-229, February.
    See citations under working paper version above.
  14. Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.

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    1. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
    2. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
    3. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    4. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    5. Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
    6. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "The Value Premium and Time‐Varying Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1252-1272, November.
    7. Evgeny Lyandres & Le Sun & Lu Zhang, 2005. "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers 11459, National Bureau of Economic Research, Inc.
    8. Jiang, Fuxiu & Kim, Kenneth A. & Nofsinger, John R. & Zhu, Bing, 2015. "Product market competition and corporate investment: Evidence from China," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 196-210.
    9. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    10. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
    11. Daouk, Hazem & Ng, David, 2011. "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 634-651, September.
    12. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    13. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    14. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
    15. Lambrecht, Bart M., 2017. "Real options in finance," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 166-171.
    16. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    17. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4301-4334, November.
    18. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
    19. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    20. George W. Blazenko & Andrey D. Pavlov, 2009. "Investment Timing for Dynamic Business Expansion," Financial Management, Financial Management Association International, vol. 38(4), pages 837-860, December.
    21. Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009. "Technological Growth and Asset Pricing," NBER Working Papers 15340, National Bureau of Economic Research, Inc.
    22. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    23. Guthrie, Graeme, 2013. "A value premium without operating leverage," Finance Research Letters, Elsevier, vol. 10(1), pages 1-11.
    24. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2006. "Optimal Market Timing," NBER Working Papers 12014, National Bureau of Economic Research, Inc.
    25. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
    26. Toni M. Whited & Lu Zhang, 2006. "Testing the q-Theory of Anomalies," 2006 Meeting Papers 380, Society for Economic Dynamics.
    27. Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao, 2008. "Value versus growth: stochastic dominance criteria," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 693-704.
    28. Xiaojie Chen & Yongkui Liu & Yonghui Zhou & Long Wang & Matjaž Perc, 2012. "Adaptive and Bounded Investment Returns Promote Cooperation in Spatial Public Goods Games," PLOS ONE, Public Library of Science, vol. 7(5), pages 1-8, May.
    29. Aggarwal, Raj & Zhao, Xinlei, 2008. "Significant issuance date returns in seasoned equity offerings: An options-based resolution of a puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 793-804, December.
    30. Naiping Lu & Lu Zhang, 2005. "The Value Spread as a Predictor of Returns," NBER Working Papers 11326, National Bureau of Economic Research, Inc.
    31. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    32. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    33. Morellec, Erwan & Gryglewicz, Sebastian & Mayer, Simon, 2018. "Agency Conflicts over the Short and Long Run: Short-termism, Long-termism, and Pay-for-Luck," CEPR Discussion Papers 12720, C.E.P.R. Discussion Papers.
    34. Gryglewicz, Sebastian & Mayer, Simon & Morellec, Erwan, 2020. "Agency conflicts and short- versus long-termism in corporate policies," Journal of Financial Economics, Elsevier, vol. 136(3), pages 718-742.
    35. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
    36. Graeme Guthrie, 2014. "Real Options And The Cross-Section Of Expected Stock Returns," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 265-283, April.
    37. Felipe L. Aguerrevere, 2009. "Real Options, Product Market Competition, and Asset Returns," Journal of Finance, American Finance Association, vol. 64(2), pages 957-983, April.
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  15. Martin B. Haugh & Leonid Kogan, 2004. "Pricing American Options: A Duality Approach," Operations Research, INFORMS, vol. 52(2), pages 258-270, April.

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    1. David B. Brown & James E. Smith, 2014. "Information Relaxations, Duality, and Convex Stochastic Dynamic Programs," Operations Research, INFORMS, vol. 62(6), pages 1394-1415, December.
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    3. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
    4. Flåm, Sjur Didrik, 2007. "Option pricing by mathematical programming," Working Papers in Economics 08/07, University of Bergen, Department of Economics.
    5. Vladislav Kargin, 2003. "Lattice Option Pricing By Multidimensional Interpolation," Finance 0309003, University Library of Munich, Germany, revised 29 Oct 2004.
    6. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
    7. Mario Cerrato & Abdollah Abbasyan, 2009. "Optimal martingales and American option pricing," Working Papers 2009_27, Business School - Economics, University of Glasgow.
    8. Santiago R. Balseiro & David B. Brown, 2019. "Approximations to Stochastic Dynamic Programs via Information Relaxation Duality," Operations Research, INFORMS, vol. 67(2), pages 577-597, March.
    9. Anna Kamille Nyegaard & Johan Raunkjær Ott & Mogens Steffensen, 2021. "An Intrinsic Value Approach to Valuation with Forward–Backward Loops in Dividend Paying Stocks," Mathematics, MDPI, vol. 9(13), pages 1-23, June.
    10. Chen Liu & Henry Schellhorn & Qidi Peng, 2019. "American Option Pricing With Regression: Convergence Analysis," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-31, December.
    11. Denis Belomestny & Grigori Milstein & John Schoenmakers, 2007. "Sensitivities for Bermudan Options by Regression Methods," SFB 649 Discussion Papers SFB649DP2007-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    12. Nikolai Dokuchaev, 2016. "First Order BSPDEs in higher dimension for optimal control problems," Papers 1603.06825, arXiv.org, revised Oct 2018.
    13. Christian Bayer & Denis Belomestny & Paul Hager & Paolo Pigato & John Schoenmakers, 2020. "Randomized optimal stopping algorithms and their convergence analysis," Papers 2002.00816, arXiv.org.
    14. Philip Ernst & L. C. G. Rogers & Quan Zhou, 2016. "The value of foresight," Papers 1601.05872, arXiv.org, revised Jul 2016.
    15. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
    16. Christian Bender & Christian Gärtner & Nikolaus Schweizer, 2018. "Pathwise Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 965-965, August.
    17. Christian Bender & Anastasia Kolodko & John Schoenmakers, 2008. "Enhanced policy iteration for American options via scenario selection," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 135-146.
    18. Kentaro Hoshisashi & Yuji Yamada, 2023. "Pricing Multi-Asset Bermudan Commodity Options with Stochastic Volatility Using Neural Networks," JRFM, MDPI, vol. 16(3), pages 1-23, March.
    19. Jiefei Yang & Guanglian Li, 2023. "On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets," Papers 2309.08287, arXiv.org, revised Sep 2023.
    20. Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers SFB649DP2006-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    21. Juri Hinz & Jeremy Yee, 2017. "An Algorithmic Approach to Optimal Asset Liquidation Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 109-129, June.
    22. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
    23. Alessio Trivella & Danial Mohseni-Taheri & Selvaprabu Nadarajah, 2023. "Meeting Corporate Renewable Power Targets," Management Science, INFORMS, vol. 69(1), pages 491-512, January.
    24. Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
    25. Victor Duarte & Diogo Duarte & Dejanir H. Silva, 2024. "Machine Learning for Continuous-Time Finance," CESifo Working Paper Series 10909, CESifo.
    26. Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71, January.
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    28. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015. "Valuing American options using fast recursive projections," DEM Discussion Paper Series 15-20, Department of Economics at the University of Luxembourg.
    29. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
    30. Soren Christensen & Jan Kallsen & Matthias Lenga, 2020. "Are American options European after all?," Papers 2002.05571, arXiv.org.
    31. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
    32. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
    33. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
    34. David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.
    35. Ron Kaniel & Stathis Tompaidis & Alexander Zemlianov, 2008. "Efficient Computation of Hedging Parameters for Discretely Exercisable Options," Operations Research, INFORMS, vol. 56(4), pages 811-826, August.
    36. Daniel R. Jiang & Lina Al-Kanj & Warren B. Powell, 2020. "Optimistic Monte Carlo Tree Search with Sampled Information Relaxation Dual Bounds," Operations Research, INFORMS, vol. 68(6), pages 1678-1697, November.
    37. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
    38. David Hobson & Anthony Neuberger, 2016. "On the value of being American," Papers 1604.02269, arXiv.org.
    39. L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.
    40. Alessio Trivella & Selvaprabu Nadarajah & Stein-Erik Fleten & Denis Mazieres & David Pisinger, 2021. "Managing Shutdown Decisions in Merchant Commodity and Energy Production: A Social Commerce Perspective," Manufacturing & Service Operations Management, INFORMS, vol. 23(2), pages 311-330, March.
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    42. D. Andricopoulos, Ari & Widdicks, Martin & Newton, David P. & Duck, Peter W., 2007. "Extending quadrature methods to value multi-asset and complex path dependent options," Journal of Financial Economics, Elsevier, vol. 83(2), pages 471-499, February.
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    44. Sören Christensen, 2014. "A Method For Pricing American Options Using Semi-Infinite Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 156-172, January.
    45. Andrew Na & Justin Wan, 2023. "Efficient Pricing and Hedging of High Dimensional American Options Using Recurrent Networks," Papers 2301.08232, arXiv.org.
    46. Lukas Gonon, 2022. "Deep neural network expressivity for optimal stopping problems," Papers 2210.10443, arXiv.org.
    47. Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
    48. Roberto Baviera & Lorenzo Giada, 2013. "A perturbative approach to Bermudan options pricing with applications," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 255-263, January.
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    50. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
    51. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    52. Leonid Kogan & Indrajit Mitra, 2021. "Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method," FRB Atlanta Working Paper 2021-16, Federal Reserve Bank of Atlanta.
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    65. Yi Yang & Jianan Wang & Youhua Chen & Zhiyuan Chen & Yanchu Liu, 2020. "Optimal procurement strategies for contractual assembly systems with fluctuating procurement price," Annals of Operations Research, Springer, vol. 291(1), pages 1027-1059, August.
    66. Dorival Le~ao & Alberto Ohashi & Francesco Russo, 2017. "Discrete-type approximations for non-Markovian optimal stopping problems: Part I," Papers 1707.05234, arXiv.org, revised Jun 2019.
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    70. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
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    72. Bourgey Florian & De Marco Stefano & Gobet Emmanuel & Zhou Alexandre, 2020. "Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations," Monte Carlo Methods and Applications, De Gruyter, vol. 26(2), pages 131-161, June.
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    74. David B. Brown & James E. Smith, 2013. "Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats," Operations Research, INFORMS, vol. 61(3), pages 644-665, June.
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    83. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
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    102. Ivan Guo & Gregoire Loeper, 2018. "Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 598-617, November.
    103. Christian Bayer & Juho Happola & Ra'ul Tempone, 2017. "Implied Stopping Rules for American Basket Options from Markovian Projection," Papers 1705.00558, arXiv.org, revised Jun 2017.
    104. Mark Broadie & Weiwei Shen, 2017. "Numerical solutions to dynamic portfolio problems with upper bounds," Computational Management Science, Springer, vol. 14(2), pages 215-227, April.
    105. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
    106. Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
    107. David B. Brown & Martin B. Haugh, 2017. "Information Relaxation Bounds for Infinite Horizon Markov Decision Processes," Operations Research, INFORMS, vol. 65(5), pages 1355-1379, October.
    108. Denis Belomestny & John Schoenmakers, 2021. "From optimal martingales to randomized dual optimal stopping," Papers 2102.01533, arXiv.org.
    109. J'er^ome Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Papers 1901.05672, arXiv.org, revised Jul 2020.
    110. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
    111. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
    112. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
    113. Yangang Chen & Justin W. L. Wan, 2019. "Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions," Papers 1909.11532, arXiv.org.
    114. Gabriel Weintraub & C. Lanier Benkard & Ben Van Roy, 2005. "Markov Perfect Industry Dynamics with Many Firms," NBER Working Papers 11900, National Bureau of Economic Research, Inc.
    115. Christian Fries & Joerg Kampen, 2010. "Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems," Papers 1002.5031, arXiv.org, revised Oct 2012.
    116. Chaeyoung Lee & Jisang Lyu & Eunchae Park & Wonjin Lee & Sangkwon Kim & Darae Jeong & Junseok Kim, 2020. "Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method," Mathematics, MDPI, vol. 8(3), pages 1-13, February.
    117. Denis Belomestny & Pavel V. Gapeev, 2006. "An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems," SFB 649 Discussion Papers SFB649DP2006-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    118. Bernard Lapeyre & Jérôme Lelong, 2021. "Neural network regression for Bermudan option pricing," Post-Print hal-02183587, HAL.
    119. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2019. "Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension," Papers 1903.11275, arXiv.org, revised Dec 2019.
    120. C. Lanier Benkard & Benjamin Van Roy & Gabriel Y. Weintraub, 2005. "Markov perfect industry dynamics with many firms," Working Paper Series 2005-23, Federal Reserve Bank of San Francisco.
    121. Jin, Xing & Yang, Cheng-Yu, 2016. "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 65-77.
    122. Mark S. Joshi, 2016. "Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 519-533, April.
    123. Bradley Sturt, 2021. "A nonparametric algorithm for optimal stopping based on robust optimization," Papers 2103.03300, arXiv.org, revised Mar 2023.
    124. Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
    125. Indrajit Mitra & Leonid Kogan, 2014. "Accuracy Verification for Numerical Solutions of Equilibrium Models," 2014 Meeting Papers 423, Society for Economic Dynamics.

  16. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
    See citations under working paper version above.
  17. Yeung Lewis Chan & Leonid Kogan, 2002. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 110(6), pages 1255-1285, December.
    See citations under working paper version above.
  18. Kogan, Leonid, 2001. "An equilibrium model of irreversible investment," Journal of Financial Economics, Elsevier, vol. 62(2), pages 201-245, November.

    Cited by:

    1. Jianjun Miao & Neng Wang, 2007. "Investment, Consumption, and Hedging under Incomplete Markets," NBER Working Papers 13250, National Bureau of Economic Research, Inc.
    2. Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
    3. Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
    4. Felipe Aldunate & Jaime Casassus, 2010. "Consumption and Hedging in Oil Importing Developing Countries," Documentos de Trabajo 376, Instituto de Economia. Pontificia Universidad Católica de Chile..
    5. Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago, 2012. "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Working Paper Series 2012-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    6. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers halshs-00590775, HAL.
    7. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, vol. 61(4), pages 191-207, December.
    8. Lars Kuehn & David Schreindorfer & Cedric Ehouarne, 2016. "Misallocation Cycles," 2016 Meeting Papers 1482, Society for Economic Dynamics.
    9. Michael Donadelli & Patrick Grüning & Aurelija Proskute, 2019. "Monetary policy, trade, and endogenous growth under different international financial market structures," Bank of Lithuania Working Paper Series 57, Bank of Lithuania.
    10. Wu, Yuliang & Mazouz, Khelifa, 2016. "Long-term industry reversals," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 236-250.
    11. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2013. "How do sovereign credit rating changes affect private investment?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4820-4833.
    12. Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2009. "Health and (other) Asset Holdings," Swiss Finance Institute Research Paper Series 09-18, Swiss Finance Institute.
    13. Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying, 2022. "Irreversible reinsurance: A singular control approach," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 326-348.
    14. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    15. George W. Blazenko & Andrey D. Pavlov, 2009. "Investment Timing for Dynamic Business Expansion," Financial Management, Financial Management Association International, vol. 38(4), pages 837-860, December.
    16. Hennessy, Christopher A. & Tserlukevich, Yuri, 2008. "Taxation, agency conflicts, and the choice between callable and convertible debt," Journal of Economic Theory, Elsevier, vol. 143(1), pages 374-404, November.
    17. Casassus, Jaime & Ceballos, Diego & Higuera, Freddy, 2010. "Correlation structure between inflation and oil futures returns: An equilibrium approach," Resources Policy, Elsevier, vol. 35(4), pages 301-310, December.
    18. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
    19. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    20. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
    21. Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2010. "A structural analysis of the health expenditures and portfolio choices of retired agents," Swiss Finance Institute Research Paper Series 10-29, Swiss Finance Institute.
    22. Zhang, Xiaoge, 2022. "Belief-driven growth slowdowns and zero-bounded risk-free rate," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    23. Sears, Joshua B., 2019. "A real options model of market entry: Endogenous uncertainty and exogenous uncertainty," Journal of International Management, Elsevier, vol. 25(3), pages 1-1.
    24. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    25. Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018. "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 128-147.
    26. Harrison, Richard & Li, Youwei & Vigne, Samuel A. & Wu, Yuliang, 2022. "Why do small businesses have difficulty in accessing bank financing?," International Review of Financial Analysis, Elsevier, vol. 84(C).
    27. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
    28. Meng, Rujing, 2008. "A patent race in a real options setting: Investment strategy, valuation, CAPM beta, and return volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3192-3217, October.
    29. Belo, Frederico & Yu, Jianfeng, 2013. "Government investment and the stock market," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 325-339.
    30. Frederico Belo & Vito Gala & Juliana Salomao & Maria Ana Vitorino, 2019. "Decomposing Firm Value," NBER Working Papers 26112, National Bureau of Economic Research, Inc.
    31. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
    32. Tserlukevich, Yuri, 2008. "Can real options explain financing behavior?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 232-252, August.
    33. Felipe Aldunate & Jaime Casassus, 2012. "Consumption and Hedging in Oil†Importing Developing Countries," European Financial Management, European Financial Management Association, vol. 18(5), pages 896-928, November.
    34. Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.

  19. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.

    Cited by:

    1. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
    2. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
    3. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
    4. Achref Bachouch & C^ome Hur'e & Nicolas Langren'e & Huyen Pham, 2018. "Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications," Papers 1812.05916, arXiv.org, revised Jan 2020.
    5. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    6. Flavio Angelini & Marco Nicolosi, 2010. "On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 203-226, November.
    7. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2021. "Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures," Papers 2109.04001, arXiv.org.
    8. Andrew Lo, 2003. "Innovation at MIT," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 33-38.
    9. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments," Papers 2102.12694, arXiv.org.
    10. Mort Webster, 2008. "Incorporating Path Dependency into Decision-Analytic Methods: An Application to Global Climate-Change Policy," Decision Analysis, INFORMS, vol. 5(2), pages 60-75, June.
    11. Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
    12. Augustyniak, Maciej & Godin, Frédéric & Simard, Clarence, 2019. "A profitable modification to global quadratic hedging," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 111-131.
    13. Auer, Benjamin R. & Schuhmacher, Frank & Niemann, Sebastian, 2023. "Cloning mutual fund returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 31-37.
    14. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    15. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020. "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers 2002.02876, arXiv.org, revised Sep 2020.
    16. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
    17. Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
    18. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
    19. Gbenga Ibikunle & Vito Mollica & Qiao Sun, 2021. "Jumps in foreign exchange spot rates and the informational efficiency of currency forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1201-1219, August.
    20. Černý, Aleš & Czichowsky, Christoph & Kallsen, Jan, 2021. "Numeraire-invariant quadratic hedging and mean–variance portfolio allocation," LSE Research Online Documents on Economics 112612, London School of Economics and Political Science, LSE Library.
    21. David G. Luenberger, 2012. "Pricing dynamic binary variables and their derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 451-464, April.
    22. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
    23. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
    24. Koichi Matsumoto & Keita Shimizu, 2020. "Hedging Derivatives on Two Assets with Model Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 83-95, March.
    25. David D. Yao & Shuzhong Zhang & Xun Yu Zhou, 2006. "Tracking a Financial Benchmark Using a Few Assets," Operations Research, INFORMS, vol. 54(2), pages 232-246, April.
    26. Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
    27. Kamil Kladivko & Mihail Zervos, 2017. "Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging," Papers 1710.00897, arXiv.org.
    28. Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021. "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers 2110.09416, arXiv.org, revised Jan 2023.
    29. Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
    30. Nicola Secomandi, 2020. "Quadratic Hedging and Optimization of Option Exercise Policies," Papers 2001.05788, arXiv.org, revised May 2022.

  20. Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.

    Cited by:

    1. Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
    2. Josh Lerner, 2002. "Where Does State Street Lead? A First Look at Finance Patents, 1971 to 2000," Journal of Finance, American Finance Association, vol. 57(2), pages 901-930, April.
    3. Mats Brod'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709, arXiv.org.
    4. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    5. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
    6. Tankov, Peter & Voltchkova, Ekaterina, 2009. "Asymptotic analysis of hedging errors in models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 2004-2027, June.
    7. Cao, Jie & Han, Bing, 2013. "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, vol. 108(1), pages 231-249.
    8. Lin, X. Sheldon & Wu, Panpan & Wang, Xiao, 2016. "Move-based hedging of variable annuities: A semi-analytic approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 40-49.
    9. Bandi, Chaithanya & Bertsimas, Dimitris, 2014. "Robust option pricing," European Journal of Operational Research, Elsevier, vol. 239(3), pages 842-853.
    10. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
    11. Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
    12. Ibáñez, Alfredo, 2005. "Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach," DEE - Working Papers. Business Economics. WB wb058121, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    13. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    14. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
    15. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
    16. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
    17. Masaaki Fukasawa, 2014. "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, vol. 18(1), pages 175-208, January.
    18. Asaf Cohen & Yan Dolinsky, 2022. "A scaling limit for utility indifference prices in the discretised Bachelier model," Finance and Stochastics, Springer, vol. 26(2), pages 335-358, April.
    19. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group.
    20. Wing Fung Chong & Haoen Cui & Yuxuan Li, 2021. "Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning," Papers 2107.03340, arXiv.org, revised Oct 2022.
    21. Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
    22. Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa, 2010. "Market pricing of executive stock options and implied risk preferences," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 394-412, June.
    23. Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018. "Volatility-of-volatility risk," SAFE Working Paper Series 210, Leibniz Institute for Financial Research SAFE.
    24. Wang, Xiao-Tian & Zhao, Zhong-Feng & Fang, Xiao-Fen, 2015. "Option pricing and portfolio hedging under the mixed hedging strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 194-206.
    25. Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner, 2013. "Asymptotics for Fixed Transaction Costs," Papers 1306.2802, arXiv.org, revised Oct 2013.
    26. Kristensen, Dennis, 2010. "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
    27. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
    28. Ciamac C. Moallemi & Mehmet Sağlam, 2013. "OR Forum---The Cost of Latency in High-Frequency Trading," Operations Research, INFORMS, vol. 61(5), pages 1070-1086, October.
    29. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
    30. Albert Altarovici & Johannes Muhle-Karbe & Halil Soner, 2015. "Asymptotics for fixed transaction costs," Finance and Stochastics, Springer, vol. 19(2), pages 363-414, April.
    31. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    32. Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.
    33. Xavier Warin, 2017. "Variance optimal hedging with application to Electricity markets," Papers 1711.03733, arXiv.org, revised Aug 2018.
    34. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
    35. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
    36. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014.
    37. Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019. "Risk management with machine-learning-based algorithms," Papers 1902.05287, arXiv.org, revised Aug 2020.
    38. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003. "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers 08, Bank of Greece.
    39. Takafumi Amaba, 2014. "A Discrete-Time Clark-Ocone Formula for Poisson Functionals," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 97-120, May.
    40. Albanese, Claudio & Tompaidis, Stathis, 2008. "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1404-1414, March.
    41. Peter Van Tassel, 2018. "Equity Volatility Term Premia," Staff Reports 867, Federal Reserve Bank of New York.
    42. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
    43. Jirô Akahori & Takafumi Amaba & Kaori Okuma, 2017. "A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis," Journal of Theoretical Probability, Springer, vol. 30(3), pages 932-960, September.
    44. Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe, 2015. "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Papers 1510.05097, arXiv.org, revised Sep 2017.
    45. Asaf Cohen & Yan Dolinsky, 2021. "A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model," Papers 2102.11968, arXiv.org, revised Mar 2022.
    46. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    47. Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2020. "Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations," Finance and Stochastics, Springer, vol. 24(3), pages 633-675, July.

Chapters

  1. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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