Expected stock returns and volatility in a production economy: a theory and some evidence
Download full text from publisher
References listed on IDEAS
- Backus, David K & Gregory, Allan W, 1993.
"Theoretical Relations between Risk Premiums and Conditional Variances,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 11(2), pages 177-185, April.
- David K. Backus & Allan W. Gregory, 1992. "Theoretical Relations Between Risk Premiums and Conditional Variances," Working Papers 92-18a, New York University, Leonard N. Stern School of Business, Department of Economics.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- Pindyck, Robert S, 1993. "A Note on Competitive Investment under Uncertainty," American Economic Review, American Economic Association, vol. 83(1), pages 273-277, March.
- Hartman, Richard, 1972. "The effects of price and cost uncertainty on investment," Journal of Economic Theory, Elsevier, vol. 5(2), pages 258-266, October.
- Boldrin, Michael & Horvath, Michael, 1995.
"Labor Contracts and Business Cycles,"
Journal of Political Economy,
University of Chicago Press, vol. 103(5), pages 972-1004, October.
- Michele Boldrin & Michael Horvath, 1994. "Labor Contracts and Business Cycles," Discussion Papers 1068, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Horvath, Michael & Boldrin, Michele, 1995. "Labor contracts and business cycles," UC3M Working papers. Economics 3905, Universidad Carlos III de Madrid. Departamento de Economía.
- Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
- Restoy, Fernando & Rockinger, G Michael, 1994.
" On Stock Market Returns and Returns on Investment,"
Journal of Finance,
American Finance Association, vol. 49(2), pages 543-556, June.
- Michael Rockinger & Fernando Restoy, 1993. "On stock market returns and returns on investment," Working Papers hal-00608358, HAL.
- Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Working Papers 9311, Banco de España;Working Papers Homepage.
- 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.
- Andrew Abel, "undated". "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model," Rodney L. White Center for Financial Research Working Papers 15-88, Wharton School Rodney L. White Center for Financial Research.
- Andrew B. Abel, 1988. "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model," NBER Working Papers 2621, National Bureau of Economic Research, Inc.
- 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.
- Naik, Vasanttilak, 1994. "Asset Prices in Dynamic Production Economies with Time-Varying Risk," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 781-801.
- Schwert, G William, 1989.
" Why Does Stock Market Volatility Change over Time?,"
Journal of Finance,
American Finance Association, vol. 44(5), pages 1115-1153, December.
- G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
- Barsky, Robert B, 1989.
"Why Don't the Prices of Stocks and Bonds Move Together?,"
American Economic Review,
American Economic Association, vol. 79(5), pages 1132-1145, December.
- Robert B. Barsky, 1986. "Why Don't the Prices of Stocks and Bonds Move Together?," NBER Working Papers 2047, National Bureau of Economic Research, Inc.
- Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-541, June.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Romer, Christina, 1986. "Spurious Volatility in Historical Unemployment Data," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 1-37, February.
- Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
- Caballero, Ricardo J, 1991. "On the Sign of the Investment-Uncertainty Relationship," American Economic Review, American Economic Association, vol. 81(1), pages 279-288, March.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
More about this item
KeywordsStock market ; Risk ; Production (Economic theory) ; Business cycles;
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedawp:99-8. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elaine Clokey). General contact details of provider: http://edirc.repec.org/data/frbatus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.