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Corporate earnings and the equity premium
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Cited by:
- Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
- François Gourio, 2013.
"Credit Risk and Disaster Risk,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
- Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers 112, Society for Economic Dynamics.
- François Gourio, 2012. "Credit risk and disaster risk," Working Paper Series WP-2012-07, Federal Reserve Bank of Chicago.
- Gourio, Francois, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, C.E.P.R. Discussion Papers.
- Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney C., 2005.
"Expected returns and expected dividend growth,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Koulovatianos, Christos & Wieland, Volker, 2011.
"Asset pricing under rational learning about rare disasters,"
IMFS Working Paper Series
46, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Volker Wieland & Christos Koulovatianos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," 2011 Meeting Papers 1417, Society for Economic Dynamics.
- Wieland, Volker & Koulovatianos, Christos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers 8514, C.E.P.R. Discussion Papers.
- Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
- Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2008.
"Two Trees,"
Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 347-385, January.
- Cochrane, John. H. & Longstaff, Francis A. & Santa-Clara, Pedro, 2004. "Two Trees," University of California at Los Angeles, Anderson Graduate School of Management qt6mt207w2, Anderson Graduate School of Management, UCLA.
- Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018.
"Term structures of asset prices and returns,"
Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
- Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
- Donangelo, Andres & Gourio, François & Kehrig, Matthias & Palacios, Miguel, 2019.
"The cross-section of labor leverage and equity returns,"
Journal of Financial Economics, Elsevier, vol. 132(2), pages 497-518.
- Andres Donangelo & François Gourio & Matthias Kehrig & Miguel Palacios, 2017. "The Cross-Section of Labor Leverage and Equity Returns," Working Paper Series WP-2017-22, Federal Reserve Bank of Chicago.
- Andres Donangelo & François Gourio & Matthias Kehrig & Miguel Palacios, 2017. "The Cross-Section of Labor Leverage and Equity Returns," Working Papers 17-70, Center for Economic Studies, U.S. Census Bureau.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012.
"Rare Disasters and Risk Sharing with Heterogeneous Beliefs,"
Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2189-2224.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
- Xu, Nancy R., 2021. "Procyclicality of the comovement between dividend growth and consumption growth," Journal of Financial Economics, Elsevier, vol. 139(1), pages 288-312.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022.
"Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models,"
Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020. "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive 20-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
- Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
- Roberto Marfè, 2016.
"Corporate Fraction and the Equilibrium Term Structure of Equity Risk,"
Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
- Roberto Marfè, 2015. "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks 409, Collegio Carlo Alberto.
- David Backus & Mikhail Chernov & Stanley Zin, 2014.
"Sources of Entropy in Representative Agent Models,"
Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
- Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
- Chyi-Lun Chiou, 2015. "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 148-157.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022.
"The Time Variation in Risk Appetite and Uncertainty,"
Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
- Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016.
"Equity Is Cheap for Large Financial Institutions: The International Evidence,"
Research Papers
3454, Stanford University, Graduate School of Business.
- Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," NBER Working Papers 22355, National Bureau of Economic Research, Inc.
- Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
- Tetiana Davydiuk & Scott Richard & Ivan Shaliastovich & Amir Yaron, 2023. "How Risky Are U.S. Corporate Assets?," Journal of Finance, American Finance Association, vol. 78(1), pages 141-208, February.
- Christos Karydas & Anastasios Xepapadeas, 2019. "Climate change risks: pricing and portfolio allocation," CER-ETH Economics working paper series 19/327, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll‐over Assumption for the Risk‐Free Asset," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 125-157, September.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2017.
"Commodity Trade and the Carry Trade: A Tale of Two Countries,"
Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
- Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2013. "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers 19371, National Bureau of Economic Research, Inc.
- 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.
- Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
- repec:dau:papers:123456789/6271 is not listed on IDEAS
- David Backus & Mikhail Chernov & Ian Martin, 2011.
"Disasters Implied by Equity Index Options,"
Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc.
- Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
- Roberto Marfè, 2015.
"Labor Rigidity and the Dynamics of the Value Premium,"
Carlo Alberto Notebooks
429, Collegio Carlo Alberto.
- Roberto Marfè, 2017. "Labor Rigidity and the Dynamics of the Value Premium," 2017 Meeting Papers 466, Society for Economic Dynamics.
- Roberto Marfè, 2016. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 460, Collegio Carlo Alberto.
- Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
- Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
- Roberto Marfè, 2017.
"Income Insurance and the Equilibrium Term Structure of Equity,"
Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
- Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
- Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
- Adem Atmaz & Suleyman Basak, 2018.
"Belief Dispersion in the Stock Market,"
Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
- Basak, Suleyman & Atmaz, Adem, 2017. "Belief Dispersion in the Stock Market," CEPR Discussion Papers 12056, C.E.P.R. Discussion Papers.
- 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.
- Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457, Decembrie.
- Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
- Alberto Martin, 2004. "Endogenous credit cycles," Economics Working Papers 916, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2008.
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003.
"Two Trees: Asset Price Dynamics Induced by Market Clearing,"
NBER Working Papers
10116, National Bureau of Economic Research, Inc.
- John H. Cochrane & Francis Longstaff, 2004. "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers 126, Society for Economic Dynamics.
- Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
- Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2018. "Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?," Working Papers 201879, University of Pretoria, Department of Economics.
- Gourio, François, 2008.
"Time-series predictability in the disaster model,"
Finance Research Letters, Elsevier, vol. 5(4), pages 191-203, December.
- François Gourio, 2008. "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series wp2008-016, Boston University - Department of Economics.
- Jack Favilukis & Xiaoji Lin, 2012.
"Wage Rigidity: A Solution to Several Asset Pricing Puzzles,"
2012 Meeting Papers
589, Society for Economic Dynamics.
- Favilukis, Jack & Lin, Xiaoji, 2012. "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," Working Paper Series 2012-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
- Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
- Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management qt2458g38x, Anderson Graduate School of Management, UCLA.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022.
"Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 303-315, March.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis," Working Papers 202114, University of Pretoria, Department of Economics.
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography 666156000000000355, UCLA Department of Economics.
- Du, Du, 2011. "General equilibrium pricing of options with habit formation and event risks," Journal of Financial Economics, Elsevier, vol. 99(2), pages 400-426, February.
- Francois Gourio, 2012.
"Disaster Risk and Business Cycles,"
American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
- Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
- François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
- Jow-Ran Chang & Hsu-Hsien Chu, 2015. "Elucidating Equity Premium Using Corporate Dividends And Habit Formation," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-20, December.
- Tsai, Jerry & Wachter, Jessica A., 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, vol. 177(C), pages 848-878.
- Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023.
"The Variance Risk Premium in Equilibrium Models,"
Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
- Jianjian Jin, 2015. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics," Review of Finance, European Finance Association, vol. 19(3), pages 1223-1279.
- Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
- Peter Christoffersen & Du Du & Redouane Elkamhi, 2017. "Rare Disasters, Credit, and Option Market Puzzles," Management Science, INFORMS, vol. 63(5), pages 1341-1364, May.
- van Wijnbergen, Sweder & Olijslagers, Stan & de Vette, Nander, 2020. "Debt sustainability when r - g," CEPR Discussion Papers 15478, C.E.P.R. Discussion Papers.
- Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
- Priyank Gandhi & Hanno Lustig, 2010. "Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation," NBER Working Papers 16553, National Bureau of Economic Research, Inc.
- Jessica A. Wachter & Michael Jacob Kahana, 2019. "A Retrieved-Context Theory Of Financial Decisions," NBER Working Papers 26200, National Bureau of Economic Research, Inc.
- Karydas, Christos & Xepapadeas, Anastasios, 2022. "Climate change financial risks: Implications for asset pricing and interest rates," Journal of Financial Stability, Elsevier, vol. 63(C).
- Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
- Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
- Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
- 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.
- Sweder van Wijnbergen & Stan Olijslagers & Nander de Vette, 2020. "Debt sustainability when r - g smaller than 0: no free lunch after all," Tinbergen Institute Discussion Papers 20-079/VI, Tinbergen Institute.