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Citations for "A Cross-Sectional Test of an Investment-Based Asset Pricing Model"

by Cochrane, John H

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  1. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
  2. 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.
  3. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  4. Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," Les Cahiers de Recherche 828, HEC Paris.
  5. Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2009. "Financially Constrained Stock Returns," Journal of Finance, American Finance Association, vol. 64(4), pages 1827-1862, 08.
  6. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  7. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  8. Ronald J. Balvers & Dayong Huang, 2005. "Evaluation Of Linear Asset Pricing Models By Implied Portfolio Performance," Working Papers 05-06old2 Classification-, Department of Economics, West Virginia University.
  9. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.
  10. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  11. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1528-1535.
  12. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc.
  13. Meng, Ginger & Hu, Gang & Bai, Jushan, 2007. "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper 33183, University Library of Munich, Germany.
  14. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
  15. Johnson, Lorne D. & Sakoulis, Georgios, 2008. "Maximizing equity market sector predictability in a Bayesian time-varying parameter model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3083-3106, February.
  16. Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
  17. Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
  18. Andrew Ang & Jun Liu, 2004. "How to Discount Cashflows with Time-Varying Expected Returns," Journal of Finance, American Finance Association, vol. 59(6), pages 2745-2783, December.
  19. Jussi Keppo & Lones Smith & Dmitry Davydov, 2006. "Optimal Electoral Timing: Exercise Wisely and You May Live Longer," Cowles Foundation Discussion Papers 1565, Cowles Foundation for Research in Economics, Yale University.
  20. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
  21. Leonid Kogan & Dimitris Papanikolaou, 2014. "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(2), pages 675-718, 04.
  22. Zongwu Cai, 2013. "Functional Coefficient Models for Economic and Financial Data," Papers 2013-10-14, Working Paper.
  23. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper 2007-04, Federal Reserve Bank of Atlanta.
  24. Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
  25. Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
  26. repec:luc:wpaper:13-1 is not listed on IDEAS
  27. 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.
  28. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc.
  29. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," Working Paper 2005-13, Federal Reserve Bank of Atlanta.
  30. repec:wyi:journl:002108 is not listed on IDEAS
  31. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  32. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
  33. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
  34. Allen C. Head & Gregor W. Smith, 2002. "The CCAPM Meets Euro-Interest Rate Persistence, 1960-2000," Working Papers 1250, Queen's University, Department of Economics.
  35. 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.
  36. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-43, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  37. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR).
  38. 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.
  39. Cook, David, 2009. "The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 449-456, June.
  40. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.
  41. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
  42. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2005. "Cultural Biases in Economic Exchange," CEPR Discussion Papers 4837, C.E.P.R. Discussion Papers.
  43. Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.
  44. Borys, Magdalena Morgese Borys, 2011. "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 118-139, June.
  45. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers.
  46. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  47. repec:dgr:uvatin:20130180 is not listed on IDEAS
  48. Joshua Hojvat Gallin, 1999. "Net migration and state labor market dynamics," Finance and Economics Discussion Series 1999-16, Board of Governors of the Federal Reserve System (U.S.).
  49. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
  50. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014. "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, vol. 38(C), pages 316-327.
  51. Andrea L. Eisfeldt & Tyler Muir, 2014. "Aggregate Issuance and Savings Waves," NBER Working Papers 20442, National Bureau of Economic Research, Inc.
  52. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Center for Economic Studies - Discussion papers ces9824, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  53. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
  54. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," Journal of Finance, American Finance Association, vol. 54(4), pages 1221-1248, 08.
  55. Li, Dongmei & Zhang, Lu, 2010. "Does q-theory with investment frictions explain anomalies in the cross section of returns?," Journal of Financial Economics, Elsevier, vol. 98(2), pages 297-314, November.
  56. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010. "Macroeconomic risks and characteristic-based factor models," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1383-1399, June.
  57. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
  58. Jonathan A. Parker & Christian Julliard, 2005. "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 185-222, February.
  59. Groen, Jan J.J. & Balakrishnan, Ravi, 2006. "Asset price based estimates of sterling exchange rate risk premia," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 71-92, February.
  60. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers.
  61. 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.
  62. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group.
  63. Lu Zhang, 2005. "Anomalies," NBER Working Papers 11322, National Bureau of Economic Research, Inc.
  64. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  65. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
  66. Wu, Jin (Ginger) & Zhang, Lu, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series 2010-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  67. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  68. Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
  69. Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  70. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
  71. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
  72. 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.
  73. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
  74. de Roon, F.A. & Nijman, T.E., 1998. "Testing for mean-variance spanning : A survey," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.
  75. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  76. Woon Gyu Choi & Yi Wen, 2005. "Measuring interest rates as determined by thrift and productivity," Working Papers 2005-037, Federal Reserve Bank of St. Louis.
  77. Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
  78. Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
  79. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
  80. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
  81. repec:dgr:uvatin:20140070 is not listed on IDEAS
  82. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
  83. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns," CIRJE F-Series CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo.
  84. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
  85. Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
  86. Zhang, Xiaoyan, 2006. "Specification tests of international asset pricing models," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 275-307, March.
  87. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
  88. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
  89. Yan Li & Liangjun Su & Yuewu Xu, 2014. "A Combined Approach to the Inference of Conditional Factor Models," Working Papers 10-2014, Singapore Management University, School of Economics.
  90. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  91. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012. "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 261-271.
  92. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
  93. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
  94. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
  95. Warwick J McKibbin & Peter J Wilcoxen, 1997. "Macroeconomic Volatility In General Equilibrium," Departmental Working Papers 1998-07, The Australian National University, Arndt-Corden Department of Economics, revised Jun 1998.
  96. 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.
  97. Stefano Giglio & Ian Dew-Becker, 2013. "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers 1244, Society for Economic Dynamics.
  98. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
  99. Sarantis Tsiaplias, 2007. "The Macroeconomic Content of Equity Market Factors," Melbourne Institute Working Paper Series wp2007n23, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  100. 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.
  101. Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
  102. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100607, Verein für Socialpolitik / German Economic Association.
  103. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  104. Asgharian, Hossein & Karlsson, Sonnie, 2006. "Evaluating a nonlinear asset pricing model on international data," Working Papers 2006:5, Lund University, Department of Economics.
  105. Yao, Tong & Yu, Tong & Zhang, Ting & Chen, Shaw, 2011. "Asset growth and stock returns: Evidence from Asian financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 115-139, January.
  106. Wilhelm, Jochen, 2000. "Das Gaußsche Zinsstrukturmodell: Eine Analyse auf der Basis von Wahrscheinlichkeitsverteilungen," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 6, University of Passau, Faculty of Business and Economics.
  107. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
  108. Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc.
  109. Chambers, Robert G & Quiggin, John, 2003. "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers 150346, University of Queensland, School of Economics.
  110. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
  111. 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.
  112. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
  113. Swaminathan G. Badrinath & Stefano Gubellini, 2012. "Does conditional mutual fund outperformance exist?," Managerial Finance, Emerald Group Publishing, vol. 38(12), pages 1160-1183.
  114. Couch, Robert & Wu, Wei, 2012. "Private investment and public equity returns," Journal of Economics and Business, Elsevier, vol. 64(2), pages 160-184.
  115. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis.
  116. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 331-353, June.
  117. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa.
  118. Olga Klinkowska & Angelica Gonzalez & Abhay Abhyankar, 2012. "Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information," 2012 Meeting Papers 56, Society for Economic Dynamics.
  119. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  120. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  121. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  122. Evgeny Lyandres & Le Sun & Lu Zhang, 2005. "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers 11459, National Bureau of Economic Research, Inc.
  123. Grammig, Joachim G. & Jank, Stephan, 2010. "Creative destruction and asset prices," CFR Working Papers 10-14, University of Cologne, Centre for Financial Research (CFR).
  124. Krapl, Alain & Giaccotto, Carmelo, 2015. "Foreign exchange risk and the term-structure of industry costs of equity," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 71-88.
  125. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
  126. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
  127. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics.
  128. Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.
  129. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  130. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  131. Cécile Carpentier & Jean-François L’Her & Jean-Marc Suret, 2013. "Private investment in small public entities," Small Business Economics, Springer, vol. 41(1), pages 149-168, June.
  132. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
  133. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
  134. 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.
  135. Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
  136. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
  137. Eisfeldt, Andrea L. & Rampini, Adriano A., 2007. "New or used? Investment with credit constraints," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2656-2681, November.
  138. Butler, Alexander W. & Cornaggia, Jess & Grullon, Gustavo & Weston, James P., 2011. "Corporate financing decisions, managerial market timing, and real investment," Journal of Financial Economics, Elsevier, vol. 101(3), pages 666-683, September.
  139. 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.
  140. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
  141. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  142. Tano Santos & Pietro Veronesi, 2000. "Labor Income and Predictable Stock Returns," CRSP working papers 520, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  143. Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
  144. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  145. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
  146. 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.
  147. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 133-169, March.
  148. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
  149. Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong, 2013. "The asset growth effect: Insights from international equity markets," Journal of Financial Economics, Elsevier, vol. 108(2), pages 529-563.
  150. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
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