IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk"

by Campbell, John Y. & Mei, Jianping

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. Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
  2. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 573-589, September.
  3. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, 01.
  4. Bahel, Eric & Trudeau, Christian, 2014. "Stable lexicographic rules for shortest path games," Economics Letters, Elsevier, vol. 125(2), pages 266-269.
  5. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
  6. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
  7. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer, vol. 24(4), pages 327-351, December.
  8. 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.
  9. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
  10. Tom Engsted & Thomas Q. Pedersen, 2013. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers 2013-04, Department of Economics and Business Economics, Aarhus University.
  11. Hamao, Y. & Mei, J., 1995. "Living with the "Enemy": An Analysis of Foreign Investment in the Japanese Equity Market," Papers 95-15, Columbia - Graduate School of Business.
  12. Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 41-66, February.
  13. Cenesizoglu, Tolga, 2011. "Size, book-to-market ratio and macroeconomic news," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 248-270, March.
  14. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
  15. Elton, Edwin J. & Gruber, Martin J. & Mei, Jianping, 1996. "Return generating process and the determinants of term premiums," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1251-1269, August.
  16. Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, Department of Economics and Business Economics, Aarhus University.
  17. 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.
  18. Hyde, Stuart J, 2007. "The response of industry stock returns to market, exchange rate and interest rate risks," MPRA Paper 9679, University Library of Munich, Germany.
  19. John Ammer & Jianping Mei, 1995. "Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America," International Finance Discussion Papers 502, Board of Governors of the Federal Reserve System (U.S.).
  20. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
  21. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
  22. Rudolf F. Klein & K. Victor Chow, 2010. "Orthogonalized Equity Risk Premia and Systematic Risk Decomposition," Working Papers 10-05, Department of Economics, West Virginia University.
  23. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
  24. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  25. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
  26. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 175-187.
  27. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
  28. Thorbecke, Willem & Chisholm, Geoff, 1995. "Nonfarm employment and the arbitrage pricing theory," Economics Letters, Elsevier, vol. 47(2), pages 193-198, February.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.