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Citations for "An intertemporal asset pricing model with stochastic consumption and investment opportunities"

by Breeden, Douglas T.

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  1. Jay Shanken & Guofu Zhou, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," CEMA Working Papers 275, China Economics and Management Academy, Central University of Finance and Economics.
  2. Hyungbin Park, 2015. "The Martin Integral Representation of Markovian Pricing Kernels," Papers 1504.00276, arXiv.org.
  3. Peiris, M.Udara & Polemarchakis, Herakles, 2015. "Quantitative Easing in an Open Economy : Prices, Exchange Rates and Risk Premia," The Warwick Economics Research Paper Series (TWERPS) 1094, University of Warwick, Department of Economics.
  4. Owen Lamont, "undated". "Economic Tracking Portfolios."," CRSP working papers 489, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  5. Cheung, Yin-Wong & He, Jia & Ng, Lilian K., 1997. "What are the global sources of rational variation in international equity returns?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 821-836, December.
  6. 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.
  7. repec:dau:papers:123456789/2284 is not listed on IDEAS
  8. Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
  9. Yang, Chunpeng & Yan, Wei & Zhang, Rengui, 2013. "Sentiment approach to negative expected return in the stock market," Economic Modelling, Elsevier, vol. 35(C), pages 30-34.
  10. repec:pri:wwseco:dp229 is not listed on IDEAS
  11. Duca, John & Muellbauer, John, 2013. "Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models," Working Paper Series 1581, European Central Bank.
  12. Luis Eduardo Arango & Luz Adriana Flórez, "undated". "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia.
  13. Raphael A. Espinoza & Charles Goodhart & Dimitrios P. Tsomocos, 2007. "Endogenous state prices, liquidity, default, and the yield curve," LSE Research Online Documents on Economics 24479, London School of Economics and Political Science, LSE Library.
  14. Matos, Paulo & Beviláqua, Giovanni & Filho, Jaime, 2012. "Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 66(3), September.
  15. Alexis Derviz, 2000. "Monetary Transmission and Asset-Liability Management by Financial Institutions in Transitional Economies - Implications for Czech Monetary Policy," Archive of Monetary Policy Division Working Papers 2000/22, Czech National Bank.
  16. Joaquin, Domingo Castelo & Khanna, Naveen, 2001. "Investment timing decisions under threat of potential competition: Why firm size matters1," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(1), pages 1-17.
  17. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 177-189.
  18. repec:dau:papers:123456789/2514 is not listed on IDEAS
  19. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  20. S. Grossman & R. Shiller, "undated". "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
  21. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  22. Hua He and David M. Modest., 1992. "Market Frictions and Consumption-Based Asset Pricing," Research Program in Finance Working Papers RPF-223, University of California at Berkeley.
  23. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
  24. Bossaerts, Peter & Plott, Charles, 2002. "The CAPM in thin experimental financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1093-1112, July.
  25. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers 636, Institut d'Économie Industrielle (IDEI), Toulouse.
  26. De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  27. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
  28. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
  29. Asish K. Bhattacharyya & Sadhalaxmi Vivek Rao, 2005. "Economic Impact of 'Regulation on Corporate Governance': Evidence from India," Finance 0504002, EconWPA.
  30. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
  31. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
  32. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
  33. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
  34. Luigi Guiso & Monica Paiella, 2005. "The Role Of Risk Aversion In Predicting Individual Behavior," Temi di discussione (Economic working papers) 546, Bank of Italy, Economic Research and International Relations Area.
  35. Birz, Gene & Lott Jr., John R., 2011. "The effect of macroeconomic news on stock returns: New evidence from newspaper coverage," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2791-2800, November.
  36. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
  37. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  38. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
  39. Liu, Liqun & Wang, Zijun, 2008. "A note on an interpretation to consumption-based CAPM," Economics Letters, Elsevier, vol. 99(3), pages 443-445, June.
  40. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
  41. Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics.
  42. Christian Julliard & Anisha Ghosh, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3037-3076.
  43. Medovikov, Ivan, 2016. "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 27-40.
  44. Jouini, Elyès & Marin, Jean-Michel & Napp, Clotilde, 2010. "Discounting and divergence of opinion," Journal of Economic Theory, Elsevier, vol. 145(2), pages 830-859, March.
  45. Liu, Weimin & Luo, Di & Zhao, Huainan, 2016. "Transaction costs, liquidity risk, and the CCAPM," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 126-145.
  46. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org.
  47. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  48. Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004. "The exchange rate and purchasing power parity: extending the theory and tests," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
  49. Jonathan A. Parker, 2003. "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, vol. 93(2), pages 376-382, May.
  50. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(03), pages 77-108, May.
  51. Bradford, D.F., 1989. "Market Value Us. Financial Accounting Measures Of National Saving," Papers 34, Princeton, Woodrow Wilson School - Discussion Paper.
  52. Chad Cotti & Richard A. Dunn & Nathan Tefft, 2013. "The Dow is Killing Me: Risky Health Behaviors and the Stock Market," Working Papers 20, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
  53. Benjamin M. Friedman, 1986. "Implications of the U.S. Net Capital Inflow," NBER Working Papers 1804, National Bureau of Economic Research, Inc.
  54. Feng Dai & Ling Liang, 2005. "The Advance in Partial Distribution: A New Mathematical Tool for Economic Management," EERI Research Paper Series EERI_RP_2005_04, Economics and Econometrics Research Institute (EERI), Brussels.
  55. Ayesha Afzal & Nawazish Mirza, 2011. "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 173-190, June.
  56. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
  57. John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research.
  58. William Barnett & Liting Su, 2014. "The Joint Services of Money and Credit," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201407, University of Kansas, Department of Economics, revised Dec 2014.
  59. Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
  60. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics.
  61. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
  62. Stephen S. Golub, 1990. "International Diversification of Social and Private Risk: The US and Japan," Cowles Foundation Discussion Papers 955, Cowles Foundation for Research in Economics, Yale University.
  63. Sami Attaoui & Pierre Six, 2014. "Hedging demand and the certainty equivalent of wealth," Economics Bulletin, AccessEcon, vol. 34(3), pages 1742-1750.
  64. Frans de Roon & Marta Szymanowska, 2012. "Asset Pricing Restrictions on Predictability: Frictions Matter," Management Science, INFORMS, vol. 58(10), pages 1916-1932, October.
  65. Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
  66. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
  67. Morris A. Davis & Stijn Van Nieuwerburgh, 2014. "Housing, Finance and the Macroeconomy," NBER Working Papers 20287, National Bureau of Economic Research, Inc.
  68. Feng Dai & Hui Liu & Ying Wang, 2005. "Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging," Econometrics 0507012, EconWPA.
  69. M. Marzo, 2001. "Monetary and Fiscal Policy Interactions: the Impact on the Term Structure of Interest Rates," Working Papers 409, Dipartimento Scienze Economiche, Universita' di Bologna.
  70. Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
  71. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
  72. Gesteira Costa, Marcos & Carrasco-Gutierrez, Carlos Enrique, 2015. "Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 69(3), September.
  73. Ronald J. Balvers & Dayong Huang, 2005. "Evaluation Of Linear Asset Pricing Models By Implied Portfolio Performance," Working Papers 05-06 Classification- JEL, Department of Economics, West Virginia University.
  74. John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012. "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers 18411, National Bureau of Economic Research, Inc.
  75. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
  76. Ravi Jagannathan & Srikant Marakani, 2011. "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers 17484, National Bureau of Economic Research, Inc.
  77. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics, revised 25 Mar 2015.
  78. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  79. Brennan, Michael, 1997. "The Role of Learning in Dynamic Portfolio Decisionsâ€," University of California at Los Angeles, Anderson Graduate School of Management qt8js8x85g, Anderson Graduate School of Management, UCLA.
  80. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
  81. 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.
  82. Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sergio, 2015. "Long-run bulls and bears," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 21-36.
  83. Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30.
  84. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
  85. Engsted, Tom & Møller, Stig V., 2015. "Cross-sectional consumption-based asset pricing: A reappraisal," Economics Letters, Elsevier, vol. 132(C), pages 101-104.
  86. Aase, Knut K., 2014. "Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model," Discussion Papers 2014/13, Department of Business and Management Science, Norwegian School of Economics.
  87. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  88. Yao, Wenjing & Mei, Bin, 2015. "Assessing forestry-related assets with the intertemporal capital asset pricing model," Forest Policy and Economics, Elsevier, vol. 50(C), pages 192-199.
  89. 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.
  90. Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc.
  91. 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.
  92. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  93. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on optimal consumption," Discussion Papers 2014/19, Department of Business and Management Science, Norwegian School of Economics, revised 16 Oct 2015.
  94. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
  95. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
  96. Kroencke, Tim Alexander, 2014. "Asset Pricing without Garbage," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100476, Verein für Socialpolitik / German Economic Association.
  97. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  98. Christopher J. Green & Victor Murinde, 2003. "Flow of funds: implications for research on financial sector development and the real economy," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(8), pages 1015-1036.
  99. Marija Đorđević, 2016. "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics, University of Belgrade, vol. 61(211), pages 7-28, October -.
  100. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-1485, June.
  101. Robert Jarrow, 2016. "Bubbles And Multiple-Factor Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 01-19.
  102. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  103. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  104. Chunsheng Zhou, 1996. "Forecasting long- and short-horizon stock returns in a unified framework," Finance and Economics Discussion Series 96-4, Board of Governors of the Federal Reserve System (U.S.).
  105. Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
  106. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
  107. Ogden, Joseph P., 2003. "The calendar structure of risk and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 70(1), pages 29-67, October.
  108. repec:dau:papers:123456789/5374 is not listed on IDEAS
  109. Rob Aalbers, 2009. "Discounting investments in mitigation and adaptation: a dynamic stochastic general equilibrium approach of climate change," CPB Discussion Paper 126, CPB Netherlands Bureau for Economic Policy Analysis.
  110. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
  111. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  112. José Miguel Torres, 2013. "Formalismo canónico en economía aplicado a teoría de portafolios," Serie documentos de trabajo del Centro de Estudios Económicos 2013-02, El Colegio de México, Centro de Estudios Económicos.
  113. Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 9-98, Wharton School Rodney L. White Center for Financial Research.
  114. Ren, Yu & Shimotsu, Katsumi, 2009. "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 483-506, June.
  115. Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, vol. 86(2), pages 543-578, November.
  116. Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
  117. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736.
  118. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
  119. Ross McCown, James, 2001. "Yield curves and international equity returns," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 767-788, April.
  120. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
  121. Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
  122. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
  123. OUATTARA, Aboudou & DE LA BRUSLERIE, Hubert, 2015. "The term structure of psychological discount rate: characteristics and functional forms," MPRA Paper 75111, University Library of Munich, Germany.
  124. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  125. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
  126. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, "undated". "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  127. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
  128. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
  129. 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.
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  131. 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), pages -, April.
  132. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
  133. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
  134. Merkle, Christoph & Egan, Daniel P. & Davies, Greg B., 2015. "Investor happiness," Journal of Economic Psychology, Elsevier, vol. 49(C), pages 167-186.
  135. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
  136. Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
  137. Haigang Zhou & John Zhu, 2011. "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 309-331, July.
  138. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York.
  139. Zhang, Ran, 2015. "A theoretical analysis on H-share discount," Economic Modelling, Elsevier, vol. 46(C), pages 262-268.
  140. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
  141. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
  142. Drees, Burkhard & Eckwert, Bernhard, 2000. "Price volatility and risk with non-separability of preferences," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 21-34, January.
  143. Li Gu & Dayong Huang, 2013. "Consumption, Money, Intratemporal Substitution, And Cross-Sectional Asset Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(1), pages 115-146, 01.
  144. Seppälä, Juha, 2000. "The term structure of real interest rates : Theory and evidence form UK index-linked bonds," Research Discussion Papers 22/2000, Bank of Finland.
  145. Miller, Marcus & Weller, Paul, 1995. "Stochastic saddlepoint systems Stabilization policy and the stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 279-302.
  146. Nawazish Mirza, 2008. "Size and value premium in Karachi stock exchange," CREB Working papers 1-2008, Centre for Research in Economics and Business, The Lahore School of Economics, revised 2008.
  147. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
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  454. Giammarioli, Nicola & Valla, Natacha, 2004. "The natural real interest rate and monetary policy: a review," Journal of Policy Modeling, Elsevier, vol. 26(5), pages 641-660, July.
  455. Smith, David C., 1999. "Finite sample properties of tests of the Epstein-Zin asset pricing model," Journal of Econometrics, Elsevier, vol. 93(1), pages 113-148, November.
  456. 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.
  457. Nawazish Mirza & Saima Shahid, 2008. "Size and Value Premium inKarachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 13(2), pages 1-26, Jul-Dec.
  458. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January.
  459. Baradarannia, M. Reza & Peat, Maurice, 2013. "Liquidity and expected returns—Evidence from 1926–2008," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 10-23.
  460. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
  461. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
  462. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.