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Citations for "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium"

by Martin Lettau & Jessica A. Wachter

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  1. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series 2005-40, Board of Governors of the Federal Reserve System (U.S.).
  2. 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.
  3. Mele, Antonio, 2007. "Asymmetric stock market volatility and the cyclical behavior of expected returns," Journal of Financial Economics, Elsevier, vol. 86(2), pages 446-478, November.
  4. 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.
  5. Stefano Giglio & Ian Dew-Becker, 2013. "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers 1244, Society for Economic Dynamics.
  6. Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
  7. Lyle, Matthew R. & Wang, Charles C.Y., 2015. "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, vol. 116(3), pages 505-525.
  8. Narayan, Paresh Kumar & Westerlund, Joakim, 2014. "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 230-236.
  9. Ravi Jagannathan & Srikant Marakani, 2011. "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers 17484, National Bureau of Economic Research, Inc.
  10. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
  11. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  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. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  14. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
  15. 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.
  16. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  17. Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  18. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
  19. Chen, Huafeng (Jason), 2011. "Firm life expectancy and the heterogeneity of the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 100(2), pages 402-423, May.
  20. Lars Peter Hansen & Jaroslav BoroviÄ ka & Mark Hendricks & José A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
    • Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
    • Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
  21. Trond Døskeland, 2007. "Strategic asset allocation for a country: the Norwegian case," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 167-201, June.
  22. Novy-Marx, Robert, 2013. "The other side of value: The gross profitability premium," Journal of Financial Economics, Elsevier, vol. 108(1), pages 1-28.
  23. Jaroslav Borovicka & Lars Peter Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series WP-2012-01, Federal Reserve Bank of Chicago.
  24. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
  25. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Andreas Weber, 2015. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," NBER Working Papers 21767, National Bureau of Economic Research, Inc.
  26. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
  27. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc.
  28. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
  29. Matteo Maggiori & Johannes Stroebel & Stefano Giglio, 2014. "Very Long Run Discount Rates," 2014 Meeting Papers 1281, Society for Economic Dynamics.
  30. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  31. 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.
  32. Ali K. Ozdagli, 2009. "Financial leverage, corporate investment, and stock returns," Working Papers 09-13, Federal Reserve Bank of Boston.
  33. Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers 22520, National Bureau of Economic Research, Inc.
  34. 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.
  35. Cejnek, Georg & Randl, Otto, 2016. "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 181-198.
  36. Christian Bach & Stig Vinther Møller, 2010. "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers 2010-46, Department of Economics and Business Economics, Aarhus University.
  37. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
  38. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
  39. Chen, Andrew Y., 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
  40. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
  41. Da, Zhi & Warachka, Mitch, 2011. "The disparity between long-term and short-term forecasted earnings growth," Journal of Financial Economics, Elsevier, vol. 100(2), pages 424-442, May.
  42. Luis M. Viceira & Adi Sunderam & John Y. Campbell, 2008. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," 2008 Meeting Papers 355, Society for Economic Dynamics.
  43. Hanno Lustig, "undated". "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
  44. 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.
  45. Alfranseder, Emanuel, 2015. "Does the financial crisis affect distressed or constrained firms more heavily?," Knut Wicksell Working Paper Series 2015/4, Knut Wicksell Centre for Financial Studies, Lund University.
  46. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
  47. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
  48. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  49. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  50. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
  51. Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
  52. Krapl, Alain & Giaccotto, Carmelo, 2015. "Foreign exchange risk and the term-structure of industry costs of equity," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 71-88.
  53. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
  54. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
  55. Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C., 2014. "Horizon-dependent risk aversion and the timing and pricing of uncertainty," Staff Reports 703, Federal Reserve Bank of New York, revised 01 Jan 2017.
  56. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  57. Ali K. Ozdagli, 2010. "The distress premium puzzle," Working Papers 10-13, Federal Reserve Bank of Boston.
  58. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
  59. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, vol. 22(3), pages 125-134.
  60. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
  61. Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
  62. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
  63. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
  64. Georgeta Vintila & Elena Alexandra Nenu, 2015. "An Analysis of Determinants of Corporate Financial Performance: Evidence from the Bucharest Stock Exchange Listed Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 732-739.
  65. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
  66. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
  67. Nitschka, Thomas, 2006. "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports 2006,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  68. 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.
  69. Curatola, Giuliano, 2015. "Loss aversion, habit formation and the term structures of equity and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 103-122.
  70. Chyi-Lun Chiou, 2015. "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 148-157.
  71. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  72. Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
  73. Naseri, Marjan & Masih, Mansur, 2014. "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper 58799, University Library of Munich, Germany.
  74. Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
  75. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  76. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
  77. Aydoğan Alti & Paul C. Tetlock, 2014. "Biased Beliefs, Asset Prices, and Investment: A Structural Approach," Journal of Finance, American Finance Association, vol. 69(1), pages 325-361, 02.
  78. 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.
  79. G. Fellows, 2015. "The capital structure of a firm under rate of return regulation: durability and the yield curve," Journal of Regulatory Economics, Springer, vol. 47(3), pages 273-299, June.
  80. Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
  81. Anthony W. Lynch & Oliver Randall, 2011. "Why Surplus Consumption in the Habit Model May be Less Persistent than You Think," NBER Working Papers 16950, National Bureau of Economic Research, Inc.
  82. Curatola, Giuliano, 2016. "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series 130, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  83. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
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