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Equilibrium Asset Pricing Models and Predictability of Excess Returns

Listed author(s):
  • M. Hashem Pesaran

    (UCLA)

  • Simon M. Potter

    (University of Cambridge)

No abstract is available for this item.

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File URL: http://www.econ.ucla.edu/workingpapers/wp694.pdf
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Paper provided by UCLA Department of Economics in its series UCLA Economics Working Papers with number 694.

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Date of creation: 01 Mar 1993
Handle: RePEc:cla:uclawp:694
Contact details of provider: Web page: http://www.econ.ucla.edu/

References listed on IDEAS
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  1. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
  2. Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
  3. N. E. Savin, 1980. "The Bonferroni and the Scheffé Multiple Comparison Procedures," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 255-273.
  4. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis.
  5. Labadie, Pamela, 1989. "Stochastic inflation and the equity premium," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 277-298, September.
  6. West, Kenneth D, 1988. " Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation," Journal of Finance, American Finance Association, vol. 43(3), pages 639-656, July.
  7. Abel, Andrew B., 1988. "Stock prices under time-varying dividend risk : An exact solution in an infinite-horizon general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 375-393.
  8. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  9. Pesaran, M.H. & Timmermann, A., 1992. "Forecasting Stock Returns," Cambridge Working Papers in Economics 9216, Faculty of Economics, University of Cambridge.
  10. Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George, 1990. "Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 141-179.
  11. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-1128, September.
  12. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
  13. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
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