-
1
-
-
0003007882
-
Asset Prices under Habit Formation and Catching Up with the Joneses
-
May
-
Abel, Andrew B. "Asset Prices under Habit Formation and Catching Up with the Joneses." A.E.R. Papers and Proc. 80 (May 1990): 38-42.
-
(1990)
A.E.R. Papers and Proc.
, vol.80
, pp. 38-42
-
-
Abel, A.B.1
-
2
-
-
0001918323
-
Risk Premia and Term Premia in General Equilibrium
-
February
-
_. "Risk Premia and Term Premia in General Equilibrium." J. Monetary Econ. 43 (February 1999): 3-33.
-
(1999)
J. Monetary Econ.
, vol.43
, pp. 3-33
-
-
-
5
-
-
34848900983
-
ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence
-
April/May
-
Bollerslev, Tim; Chou, Ray Y.; and Kroner, Kenneth F. "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence." J. Econometrics 52 (April/May 1992): 5-59.
-
(1992)
J. Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.Y.2
Kroner, K.F.3
-
6
-
-
0000735805
-
Understanding Risk and Return
-
April
-
Campbell, John Y. "Understanding Risk and Return." J.P.E. 104 (April 1996): 298-345.
-
(1996)
J.P.E.
, vol.104
, pp. 298-345
-
-
Campbell, J.Y.1
-
7
-
-
0001548141
-
Asset Prices, Consumption, and the Business Cycle
-
Amsterdam: North-Holland
-
_. "Asset Prices, Consumption, and the Business Cycle." In Handbook of Macroeconomics, edited by John B. Taylor and Michael Woodford. Amsterdam: North-Holland, 1999.
-
(1999)
Handbook of Macroeconomics
-
-
Taylor, J.B.1
Woodford, M.2
-
8
-
-
0003771670
-
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
-
Cambridge, Mass.: NBER, January
-
Campbell, John Y., and Cochrane,John H. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Working Paper no. 4995. Cambridge, Mass.: NBER, January 1995.
-
(1995)
Working Paper No. 4995
-
-
Campbell, J.Y.1
Cochrane, J.H.2
-
11
-
-
0000007521
-
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
-
a
-
Campbell, John Y., and Shiller, Robert J. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors." Rev. Financial Studies 1, no. 3 (1988): 195-227. (a)
-
(1988)
Rev. Financial Studies
, vol.1
, Issue.3
, pp. 195-227
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
12
-
-
84977717068
-
Stock Prices, Earnings, and Expected Dividends
-
July (b)
-
_. "Stock Prices, Earnings, and Expected Dividends." J. Finance 43 (July 1988): 661-76. (b)
-
(1988)
J. Finance
, vol.43
, pp. 661-676
-
-
-
13
-
-
0001265486
-
Habit Formation and Aggregate Consumption
-
September
-
Chapman, David A. "Habit Formation and Aggregate Consumption." Econometrica 66 (September 1998): 1223-30.
-
(1998)
Econometrica
, vol.66
, pp. 1223-1230
-
-
Chapman, D.A.1
-
14
-
-
38249014105
-
Measuring Risk Aversion from Excess Returns on a Stock Index
-
April-May
-
Chou, Ray Y.; Engle, Robert F.; and Kane, Alex. "Measuring Risk Aversion from Excess Returns on a Stock Index." J. Econometrics 52 (April-May 1992): 201-24.
-
(1992)
J. Econometrics
, vol.52
, pp. 201-224
-
-
Chou, R.Y.1
Engle, R.F.2
Kane, A.3
-
15
-
-
0001024957
-
Volatility Tests and Efficient Markets: A Review Essay
-
June
-
Cochrane, John H. "Volatility Tests and Efficient Markets: A Review Essay." J. Monetary Econ. 27 (June 1991): 463-85.
-
(1991)
J. Monetary Econ.
, vol.27
, pp. 463-485
-
-
Cochrane, J.H.1
-
16
-
-
0000286891
-
Explaining the Variance of Price-Dividend Ratios
-
_. "Explaining the Variance of Price-Dividend Ratios." Rev. Financial Studies 5, no. 2 (1992): 243-80.
-
(1992)
Rev. Financial Studies
, vol.5
, Issue.2
, pp. 243-280
-
-
-
17
-
-
0002646438
-
Asset Pricing Lessons for Macroeconomics
-
edited by Olivier J. Blanchard and Stanley Fischer. Cambridge, Mass.: MIT Press
-
Cochrane, John H., and Hansen, Lars Peter. "Asset Pricing Lessons for Macroeconomics." In NBER Macroeconomics Annual, vol. 7, edited by Olivier J. Blanchard and Stanley Fischer. Cambridge, Mass.: MIT Press, 1992.
-
(1992)
NBER Macroeconomics Annual
, vol.7
-
-
Cochrane, J.H.1
Hansen, L.P.2
-
18
-
-
84935322716
-
Habit Formation: A Resolution of the Equity Premium Puzzle
-
June
-
Constantinides, George M. "Habit Formation: A Resolution of the Equity Premium Puzzle." J.P.E. 98 (June 1990): 519-43.
-
(1990)
J.P.E.
, vol.98
, pp. 519-543
-
-
Constantinides, G.M.1
-
19
-
-
0001691088
-
Asset Pricing with Heterogeneous Consumers
-
April
-
Constantinides, George M., and Duffie, Darrell. "Asset Pricing with Heterogeneous Consumers." J.P.E. 104 (April 1996): 219-40.
-
(1996)
J.P.E.
, vol.104
, pp. 219-240
-
-
Constantinides, G.M.1
Duffie, D.2
-
20
-
-
0001205798
-
A Theory of the Term Structure of Interest Rates
-
March
-
Cox, John C.; Ingersoll, Jonathan E., Jr.; and Ross, Stephen A. "A Theory of the Term Structure of Interest Rates." Econometrica 53 (March 1985). 385-407.
-
(1985)
Econometrica
, vol.53
, pp. 385-407
-
-
Cox, J.C.1
Ingersoll J.E., Jr.2
Ross, S.A.3
-
24
-
-
84935429666
-
Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
-
April
-
Epstein, Larry G., and Zin, Stanley E. "Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." J.P.E. 99 (April 1991): 263-86.
-
(1991)
J.P.E.
, vol.99
, pp. 263-286
-
-
Epstein, L.G.1
Zin, S.E.2
-
25
-
-
84977707061
-
Stock Returns, Expected Returns, and Real Activity
-
September
-
Fama, Eugene F. "Stock Returns, Expected Returns, and Real Activity." J. Finance 45 (September 1990): 1089-1108.
-
(1990)
J. Finance
, vol.45
, pp. 1089-1108
-
-
Fama, E.F.1
-
26
-
-
0002056097
-
Dividend Yields and Expected Stock Returns
-
October (a)
-
Fama, Eugene F., and French, Kenneth R. "Dividend Yields and Expected Stock Returns." J. Financial Econ. 22 (October 1988): 3-25. (a)
-
(1988)
J. Financial Econ.
, vol.22
, pp. 3-25
-
-
Fama, E.F.1
French, K.R.2
-
27
-
-
84936823605
-
Permanent and Temporary Components of Stock Prices
-
April (b)
-
_. "Permanent and Temporary Components of Stock Prices." J.P.E. 96 (April 1988): 246-73. (b)
-
(1988)
J.P.E.
, vol.96
, pp. 246-273
-
-
-
28
-
-
34250890715
-
Business Conditions and Expected Returns on Stocks and Bonds
-
November
-
_. "Business Conditions and Expected Returns on Stocks and Bonds." J. Financial Econ. 25 (November 1989): 23-49.
-
(1989)
J. Financial Econ.
, vol.25
, pp. 23-49
-
-
-
29
-
-
0000853427
-
Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
-
October
-
Ferson, Wayne E., and Constantinides, George M. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests." J. Financial Econ. 29 (October 1991): 199-240.
-
(1991)
J. Financial Econ.
, vol.29
, pp. 199-240
-
-
Ferson, W.E.1
Constantinides, G.M.2
-
30
-
-
45949126440
-
Non-stationarity and Stage-of-the-Business-Cycle Effects in Consumption-Based Asset Pricing Relations
-
March
-
Ferson, Wayne E., and Merrick, John J., Jr. "Non-stationarity and Stage-of-the-Business-Cycle Effects in Consumption-Based Asset Pricing Relations." J. Financial Econ. 18 (March 1987): 127-46.
-
(1987)
J. Financial Econ.
, vol.18
, pp. 127-146
-
-
Ferson, W.E.1
Merrick J.J., Jr.2
-
31
-
-
84934563125
-
Implicatons of Security Market Data for Models of Dynamic Economies
-
April
-
Hansen, Lars Peter, and Jagannathan, Ravi. "Implicatons of Security Market Data for Models of Dynamic Economies." J.P.E. 99 (April 1991): 225-62.
-
(1991)
J.P.E.
, vol.99
, pp. 225-262
-
-
Hansen, L.P.1
Jagannathan, R.2
-
33
-
-
0000425816
-
Time-Varying Conditional Covariances in Tests of Asset Pricing Models
-
October
-
Harvey, Campbell R. "Time-Varying Conditional Covariances in Tests of Asset Pricing Models." J. Financial Econ. 24 (October 1989): 289-317.
-
(1989)
J. Financial Econ.
, vol.24
, pp. 289-317
-
-
Harvey, C.R.1
-
34
-
-
0000900299
-
An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
-
May
-
Heaton, John C. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications." Econometrica 63 (May 1995): 681-717.
-
(1995)
Econometrica
, vol.63
, pp. 681-717
-
-
Heaton, J.C.1
-
35
-
-
0000278184
-
Asset Pricing in Production Economies
-
February
-
Jermann, Urban J. "Asset Pricing in Production Economies." J. Monetary Econ. 41 (February 1998): 257-75.
-
(1998)
J. Monetary Econ.
, vol.41
, pp. 257-275
-
-
Jermann, U.J.1
-
36
-
-
0000781833
-
Expectations and Volatility of Consumption and Asset Returns
-
Kandel, Shmuel, and Stambaugh, Robert F. "Expectations and Volatility of Consumption and Asset Returns." Rev. Financial Studies 3, no. 2. (1990). 207-32.
-
(1990)
Rev. Financial Studies
, vol.3
, Issue.2
, pp. 207-232
-
-
Kandel, S.1
Stambaugh, R.F.2
-
37
-
-
44949277629
-
Asset Returns and Intertemporal Preferences
-
February
-
_. "Asset Returns and Intertemporal Preferences." J. Monetary Econ. 27 (February 1991): 39-71.
-
(1991)
J. Monetary Econ.
, vol.27
, pp. 39-71
-
-
-
38
-
-
0344903464
-
Accumulating Pension Weath with Stocks and Bonds
-
Stanford, Calif.: Stanford Univ.
-
MaCurdy, Thomas E., and Shoven, John. "Accumulating Pension Weath with Stocks and Bonds." Working paper. Stanford, Calif.: Stanford Univ., 1992.
-
(1992)
Working Paper
-
-
MaCurdy, T.E.1
Shoven, J.2
-
39
-
-
0000339532
-
The Equity Premium and the Concentration of Aggregate Shocks
-
September
-
Mankiw, N. Gregory. "The Equity Premium and the Concentration of Aggregate Shocks." J. Financial Econ. 17 (September 1986): 211-19.
-
(1986)
J. Financial Econ.
, vol.17
, pp. 211-219
-
-
Mankiw, N.G.1
-
40
-
-
0000626013
-
Risk and Return: Consumption Beta versus Market Beta
-
August
-
Mankiw, N. Gregory, and Shapiro, Matthew D. "Risk and Return: Consumption Beta versus Market Beta." Rev. Econ. and Statis. 68 (August 1986). 452-59.
-
(1986)
Rev. Econ. and Statis.
, vol.68
, pp. 452-459
-
-
Mankiw, N.G.1
Shapiro, M.D.2
-
41
-
-
46549099071
-
The Equity Premium: A Puzzle
-
March
-
Mehra, Rajnish, and Prescott, Edward C. "The Equity Premium: A Puzzle." J. Monetary Econ. 15 (March 1985): 145-61.
-
(1985)
J. Monetary Econ.
, vol.15
, pp. 145-161
-
-
Mehra, R.1
Prescott, E.C.2
-
42
-
-
0000641348
-
Conditional Heteroskedasticity in Asset Returns: A New Approach
-
March
-
Nelson, Daniel B. "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica 59 (March 1991): 347-70.
-
(1991)
Econometrica
, vol.59
, pp. 347-370
-
-
Nelson, D.B.1
-
43
-
-
0002158052
-
Mean Reversion in Stock Prices: Evidence and Implications
-
October
-
Poterba, James M., and Summers, Lawrence H. "Mean Reversion in Stock Prices: Evidence and Implications." J. Financial Econ. 22 (October 1988): 27-59.
-
(1988)
J. Financial Econ.
, vol.22
, pp. 27-59
-
-
Poterba, J.M.1
Summers, L.H.2
-
44
-
-
45549121696
-
The Equity Risk Premium: A Solution
-
July
-
Rietz, Thomas A. "The Equity Risk Premium: A Solution." J. Monetary Econ. 22 (July 1988): 117-31.
-
(1988)
J. Monetary Econ.
, vol.22
, pp. 117-131
-
-
Rietz, T.A.1
-
45
-
-
84959826005
-
Optimum Growth with Intertemporally Dependent Preferences
-
January
-
Ryder, Harl E., Jr., and Heal, Geoffrey M. "Optimum Growth with Intertemporally Dependent Preferences." Rev. Econ. Studies 40 (January 1973): 1-33.
-
(1973)
Rev. Econ. Studies
, vol.40
, pp. 1-33
-
-
Ryder H.E., Jr.1
Heal, G.M.2
-
46
-
-
84977707955
-
Why Does Stock Market Volatility Change over Time?
-
December
-
Schwert, G. William. "Why Does Stock Market Volatility Change over Time?" J. Finance 44 (December 1989): 1115-53.
-
(1989)
J. Finance
, vol.44
, pp. 1115-1153
-
-
Schwert, G.W.1
-
47
-
-
0000531855
-
Consumption, Asset Markets and Macroeconomic Fluctuations
-
Autumn
-
Shiller, Robert J. "Consumption, Asset Markets and Macroeconomic Fluctuations." Carnegie-Rochester Conf. Ser. Public Policy 17 (Autumn 1982): 203-38.
-
(1982)
Carnegie-Rochester Conf. Ser. Public Policy
, vol.17
, pp. 203-238
-
-
Shiller, R.J.1
-
48
-
-
0004185654
-
-
Cambridge, Mass.: MIT Press
-
_. Market Volatility. Cambridge, Mass.: MIT Press, 1989.
-
(1989)
Market Volatility
-
-
-
50
-
-
0002387168
-
Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
-
Sundaresan, Suresh M. "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth." Rev. Financial Studies 2, no. 2 (1989): 73-89.
-
(1989)
Rev. Financial Studies
, vol.2
, Issue.2
, pp. 73-89
-
-
Sundaresan, S.M.1
-
51
-
-
38249004563
-
The Equity Premium Puzzle and the Risk-Free Rate Puzzle
-
November
-
Weil, Philippe. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle." J. Monetary Econ. 24 (November 1989): 401-21.
-
(1989)
J. Monetary Econ.
, vol.24
, pp. 401-421
-
-
Weil, P.1
|