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Citations for "Consumption-based asset pricing"

by Campbell, John Y.

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  1. William R. Emmons & Frank A. Schmid, 2000. "The Asian crisis and the exposure of large U.S. firms," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 15-34.
  2. Michele Boldrin & Adrian Peralta-Alva, 2009. "What happened to the US stock market? Accounting for the last 50 years," Working Papers 2009-042, Federal Reserve Bank of St. Louis.
  3. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
  4. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  5. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
  6. Azariadis, Costas & Kaas, Leo, 2007. "Asset price fluctuations without aggregate shocks," Journal of Economic Theory, Elsevier, vol. 136(1), pages 126-143, September.
  7. Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006. "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2217-2260, November.
  8. Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles 5027955, Harvard Kennedy School of Government.
  9. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
  10. Suleyman Basak & Hongjun Yan, 2010. "Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion," Review of Economic Studies, Oxford University Press, vol. 77(3), pages 914-936.
  11. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
  12. Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers dp609, Financial Markets Group.
  13. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
  14. Dladla, Pholile & Malikane, Christopher & Ojah, Kalu, 2014. "The Elasticity of Intertemporal Substitution Reconsidered," MPRA Paper 55547, University Library of Munich, Germany.
  15. Alon Brav & George M. Constantinides & Christopher C. Geczy, . "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
  16. Koren Miklós & Szeidl Ádám, 2002. "Portfolio Choice with Illiquid Assets," Rajk László Szakkollégium Working Papers 6, Rajk László College.
  17. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
  18. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  19. Yang, Chunpeng & Zhang, Rengui, 2013. "Dynamic asset pricing model with heterogeneous sentiments," Economic Modelling, Elsevier, vol. 33(C), pages 248-253.
  20. Moore, Michael J. & Roche, Maurice J., 2008. "Volatile and persistent real exchange rates with or without sticky prices," Journal of Monetary Economics, Elsevier, vol. 55(2), pages 423-433, March.
  21. Florin Bilbiie & Roland Straub, 2012. "Changes in the Output Euler Equation and Asset Markets Participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00680647, HAL.
  22. Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011. "Stock Market Volatility and Learning," CEP Discussion Papers dp1077, Centre for Economic Performance, LSE.
  23. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco & Uribe, Martín, 2009. "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers 7264, C.E.P.R. Discussion Papers.
  24. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  25. Alessandro Bucciol & Raffaele Miniaci, 2011. "Household Portfolios and Implicit Risk Preference," The Review of Economics and Statistics, MIT Press, vol. 93(4), pages 1235-1250, November.
  26. Hongjun Yan, 2010. "Is Noise Trading Cancelled Out by Aggregation?," Management Science, INFORMS, vol. 56(7), pages 1047-1059, July.
  27. Eva Carceles-Poveda & Chryssi Giannitsarou, 2008. "Asset Pricing with Adaptive Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 629-651, July.
  28. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  29. Asgharian, Hossein & Karlsson, Sonnie, 2006. "Evaluating a nonlinear asset pricing model on international data," Working Papers 2006:5, Lund University, Department of Economics.
  30. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
  31. Albuquerque, Rui & Wang, Neng, 2005. "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers 4955, C.E.P.R. Discussion Papers.
  32. Keyu Jin & Stéphane Guibaud & Nicolas Coeurdacier, 2013. "Credit constraints and growth in a global economy," LSE Research Online Documents on Economics 54261, London School of Economics and Political Science, LSE Library.
  33. Javier Bianchi & Enrique G. Mendoza, 2013. "Optimal Time-Consistent Macroprudential Policy," NBER Working Papers 19704, National Bureau of Economic Research, Inc.
  34. Louis Kaplow, 2005. "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 31(1), pages 23-34, July.
  35. Gürtler, Marc & Hartmann, Nora, 2004. "The equity premium puzzle and emotional asset pricing," Working Papers FW10V3, Technische Universität Braunschweig, Institute of Finance.
  36. Pongrapeeporn Abhakorn & Peter N. Smith & Michael Wickens, 2013. "What do the Fama-French Factors Add to C-CAPM?," CESifo Working Paper Series 4197, CESifo Group Munich.
  37. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4301-4334, November.
  38. Juan Carols Hatchondo, 2005. "A quantitative study of the role of wealth inequality on asset prices," Working Paper 05-12, Federal Reserve Bank of Richmond.
  39. Challe, Edouard & Giannitsarou, Chryssi, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
  40. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  41. Helbling, Thomas & Huidrom, Raju & Kose, M. Ayhan & Otrok, Christopher, 2011. "Do credit shocks matter? A global perspective," European Economic Review, Elsevier, vol. 55(3), pages 340-353, April.
  42. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc.
  43. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
  44. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  45. Engsted, Tom & Pedersen, Thomas Q., 2010. "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 585-605, September.
  46. Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
  47. Benjamin R. Auer, 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(5), pages 518-544, September.
  48. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  49. Pamphile MEZUI-MBENG, 2012. "Cycle Du Credit Et Cycle Des Affaires Dans Les Pays De La Cemac," Cahiers du CEREFIGE 1202, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
  50. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, Oxford University Press, vol. 127(2), pages 645-700.
  51. Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, School of Economics and Management, University of Aarhus.
  52. Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
  53. Clain-Chamosset-Yvrard, Lise & Seegmuller, Thomas, 2015. "Rational bubbles and macroeconomic fluctuations: The (de-)stabilizing role of monetary policy," Mathematical Social Sciences, Elsevier, vol. 75(C), pages 1-15.
  54. Dirk Krueger & Felix Kubler, 2006. "Pareto-Improving Social Security Reform when Financial Markets are Incomplete!?," American Economic Review, American Economic Association, vol. 96(3), pages 737-755, June.
  55. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  56. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
  57. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
  58. Sagi, Jacob S. & Seasholes, Mark S., 2007. "Firm-specific attributes and the cross-section of momentum," Journal of Financial Economics, Elsevier, vol. 84(2), pages 389-434, May.
  59. Costas Azariadis & Leo Kaas, 2007. "Is dynamic general equilibrium a theory of everything?," Economic Theory, Springer, vol. 32(1), pages 13-41, July.
  60. Borenstein, Eliezer & Elkayam, David, 2013. "The equity premium in a small open economy, and an application to Israel," MPRA Paper 43909, University Library of Munich, Germany.
  61. 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.
  62. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," University of St. Gallen Department of Economics working paper series 2005 2005-24, Department of Economics, University of St. Gallen.
  63. Kan, Raymond & Robotti, Cesare, 2008. "Specification tests of asset pricing models using excess returns," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 816-838, December.
  64. Claessens, Stijn & Kose, Ayhan & Terrones, Marco E, 2011. "How Do Business and Financial Cycles Interact?," CEPR Discussion Papers 8396, C.E.P.R. Discussion Papers.
  65. Møller, Stig Vinther, 2009. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 525-536, September.
  66. Christian A. Stoltenberg & Vadym Lepetyuk, 2009. "Policy announcements and welfare," Working Papers. Serie AD 2009-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  67. Tom Engsted & Stig V. M�ller, 2010. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 213-227.
  68. Louis Kaplow, 2003. "Public Goods and the Distribution of Income," NBER Working Papers 9842, National Bureau of Economic Research, Inc.
  69. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005. "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance 0503014, EconWPA, revised 17 Jan 2006.
  70. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  71. Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
  72. Aono, Kohei & Iwaisako, Tokuo, 2013. "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, vol. 25, pages 39-51.
  73. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
  74. David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Papers 294, University of Pittsburgh, Department of Economics, revised Oct 2007.
  75. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  76. Georgy Chabakauri, 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.
  77. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany.
  78. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  79. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
  80. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  81. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics.
  82. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  83. Engsted, Tom & Møller, Stig V., 2015. "Cross-sectional consumption-based asset pricing: A reappraisal," Economics Letters, Elsevier, vol. 132(C), pages 101-104.
  84. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  85. Chambers, Robert G & Grant, Simon & Polak, Ben & Quiggin, John, 2011. "A Two-Parameter Model of Dispersion Aversion," Risk and Sustainable Management Group Working Papers 151196, University of Queensland, School of Economics.
  86. Chambers, Robert G. & Färe, Rolf, 2011. "Efficiency analysis, shortage functions, arbitrage, and martingales," European Journal of Operational Research, Elsevier, vol. 213(1), pages 349-358, August.
  87. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  88. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29, March.
  89. Luigi Guiso & Paolo Sodini, 2012. "Household Finance. An Emerging Field," EIEF Working Papers Series 1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
  90. Magi, Alessandro, 2009. "Portfolio choice, behavioral preferences and equity home bias," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 501-520, May.
  91. Selahattin Imrohoroglu, 2004. "A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle," Macroeconomics 0402009, EconWPA.
  92. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," SIFR Research Report Series 18, Institute for Financial Research.
  93. Georg Junge & Peter Kugler, 2012. "Quantifying the impact of higher capital requirements on the Swiss economy," Working papers 2012/13, Faculty of Business and Economics - University of Basel.
  94. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
  95. Sergio Mayordomo & Maria Rodriguez-Moreno & Juan Ignacio Peña, 2014. "Portfolio choice with indivisible and illiquid housing assets: the case of Spain," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 2045-2064, November.
  96. Willis, Geoff, 2011. "The Bowley Ratio," MPRA Paper 30852, University Library of Munich, Germany.
  97. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
  98. Lee, Manjong, 2013. "Coexistence and welfare cost of inflation," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 23-32.
  99. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
  100. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Working Papers 06-38, Bank of Canada.
  101. Opp, Marcus M. & Parlour, Christine A. & Walden, Johan, 2014. "Markup cycles, dynamic misallocation, and amplification," Journal of Economic Theory, Elsevier, vol. 154(C), pages 126-161.
  102. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers.
  103. Yvonne Adema, 2010. "Pensions, Debt and Inflation Risk in a Monetary Union," Tinbergen Institute Discussion Papers 10-109/2, Tinbergen Institute.
  104. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, 06.
  105. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
  106. Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik, 2005. "Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures," Working Papers in Economics 159, University of Gothenburg, Department of Economics.
  107. Söderlind, Paul, 2009. "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, vol. 6(2), pages 73-82, June.
  108. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
  109. Paul Levine, 2012. "Policy focus: Monetary policy in an uncertain world: probability models and the design of robust monetary rules," Indian Growth and Development Review, Emerald Group Publishing, vol. 5(1), pages 70-88, April.
  110. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc.
  111. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  112. Bidarkota, Prasad V. & Dupoyet, Brice V., 2007. "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 887-905, March.
  113. Klaus Adam & Albert Marcet, 2011. "Booms and Busts in Asset Prices," CEP Discussion Papers dp1059, Centre for Economic Performance, LSE.
  114. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  115. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  116. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
  117. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  118. Gomes, Fábio Augusto Reis & Paz, Lourenço S., 2013. "Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 63-75.
  119. P N Smith & S Sorensen & M R Wickens, . "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York.
  120. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.).
  121. Yvonne Adema, 2010. "Pensions, Debt and Inflation Risk in a Monetary Union," Tinbergen Institute Discussion Papers 10-109/2, Tinbergen Institute.
  122. Zimper, Alexander, 2012. "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 610-628.
  123. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc.
  124. Ruthira Naraidoo & Kasai Ndahiriwe, 2010. "Financial asset prices, linear and nonlinear policy rules. An In-sample assessment of the reaction function of the South African Reserve Bank," Working Papers 201006, University of Pretoria, Department of Economics.
  125. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
  126. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  127. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  128. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
  129. Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.
  130. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  131. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  132. Yang, Chunpeng & Zhang, Rengui, 2014. "Dynamic sentiment asset pricing model," Economic Modelling, Elsevier, vol. 37(C), pages 362-367.
  133. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
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