IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

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

by Matthew D. Shapiro & N. Gregory Mankiw

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  2. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013. "What do the Fama-French factors add to CCAPM?," CAMA Working Papers 2013-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
  4. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
  5. John Fernald & John H. Rogers, 2000. "Puzzles in the Chinese stock market," Working Paper Series WP-00-13, Federal Reserve Bank of Chicago.
  6. John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption-based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
  7. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
  8. Andreas Bossard, 1989. "Das konsumgestützte Kapitalmarktmodell: Empirische Ergebnisse für die Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(II), pages 135-156, June.
  9. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  10. Coudert, V. & Gex, M., 2006. "Can risk aversion indicators anticipate financial crises?," Financial Stability Review, Banque de France, issue 9, pages 67-87, December.
  11. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 241-262, April.
  12. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
  13. Jonathan A. Parker, 2003. "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, vol. 93(2), pages 376-382, May.
  14. Mankiw, N. Gregory & Zeldes, Stephen P., 1991. "The consumption of stockholders and nonstockholders," Journal of Financial Economics, Elsevier, vol. 29(1), pages 97-112, March.
  15. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  16. Jouini, Elyes & Napp, Clotilde, 2003. "A class of models satisfying a dynamical version of the CAPM," Economics Letters, Elsevier, vol. 79(3), pages 299-304, June.
  17. Nakano, Katsura & Saito, Makoto, 1998. "Asset Pricing in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 12(2), pages 151-166, June.
  18. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
  19. Yamin Ahmad, 2004. "Money market rates and implied CCAPM rates: some international evidence," Money Macro and Finance (MMF) Research Group Conference 2003 1, Money Macro and Finance Research Group.
  20. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
  21. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
  22. Elena Marquez & Belen Nieto, 2011. "Further international evidence on durable consumption growth and long-run consumption risk," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 195-217.
  23. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
  24. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
  25. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 653-680, September.
  26. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  27. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  28. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
  29. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
  30. Mayfield, E. Scott & Murphy, Robert G., 1996. "Explaining the term structure of interest rates: A panel data approach," Journal of Economics and Business, Elsevier, vol. 48(1), pages 11-21, February.
  31. repec:dgr:kubcen:199532 is not listed on IDEAS
  32. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
  33. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  34. Jorion, Philippe & Giovannini, Alberto, 1993. "Time-series tests of a non-expected-utility model of asset pricing," European Economic Review, Elsevier, vol. 37(5), pages 1083-1100, June.
  35. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
  36. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
  37. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "Financial integration in Europe : Evidence from Euler equation tests," Discussion Paper 1995-32, Tilburg University, Center for Economic Research.
  38. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, vol. 40(8), pages 1647-1664, November.
  39. Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 267-301, September.
  40. Stijn Claessens & Moon-Whoan Rhee, 1993. "The Effect of Equity Barriers on Foreign Investment in Developing Countries," NBER Working Papers 4579, National Bureau of Economic Research, Inc.
  41. Zheng (Michael) Song & Guiying (Laura) Wu, 2013. "A Structural Estimation on Capital Market Distortions in Chinese Manufacturing," Economic Growth Centre Working Paper Series 1306, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  42. Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
  43. William C. Brainard & Matthew D. Shapiro & John B. Shoven, 1990. "Fundamental Value and Market Value," NBER Working Papers 3452, National Bureau of Economic Research, Inc.
  44. Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 1-21, January.
  45. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, . "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers 11/23, Department of Economics, University of York.
  46. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
  47. repec:dgr:uvatin:20140070 is not listed on IDEAS
  48. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
  49. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
  50. Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, 04.
  51. Napp, Clotilde & Jouini, Elyès, 2003. "A Class of Models satisfying a Dynamical Version of the CAPM," Economics Papers from University Paris Dauphine 123456789/56, Paris Dauphine University.
  52. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  53. Elyès Jouini & Clotilde Napp, 2003. "A class of models satisfying a dynamical version of the CAPM," Post-Print halshs-00167159, HAL.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.