Aggregate consumption and the predictability of asset returns

Journal of Business and Economic Statistics

Volumn 18, Issue 1, 2000, Pages 58-76

  Jacobs, Kris ^a  

^a MCGILL UNIVERSITY   (Canada)

Author keywords

Classical and Bayesian testing; Consumption based asset pricing; Predictability of returns; Statistical assumptions

Indexed keywords

EID: 0039176099     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2000.10524848     Document Type: Article

References (31)

1. Burnside, A. C. (1994), “Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models,” Journal of Business Economic Statistics, 12, 57-79.
2. Campbell, J., Lo, A., and MacKinlay, C. (1997), “The Econometrics of Financial Markets,” Princeton, NJ: Princeton University Press.
3. Campbell, J., and Shiller, R. (1987), “Cointegration and Tests of Present Value Models,” Journal of Political Economy, 95, 1062-1088.
4. Campbell, J., and Shiller, R. (1988), “Stock Prices, Earnings and Expected Dividends,” Journal of Finance, 18, 661-676.
5. Campbell, J., and Shiller, R. (1989), “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,” The Review of Financial Studies, 1, 195- 228.
6. Cochrane, J. (1991a), “Volatility Tests and Efficient Markets: A Review Essay,” Journal of Monetary Economics, 27, 463-485.
7. Cochrane, J. (1991b), “Production-based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations,” The Journal of Finance, 21, 209-237.
8. DeJong, D., Nankervis, J., Savin, N., and Whiteman, C. (1992a), “Integration Versus Trend-Stationarity in Time Series,” Econometrica, 60, 423-433.
9. DeJong, D., Nankervis, J., Savin, N., and Whiteman, C. (1992b), “The Power Problems of Unit Root Tests in Time Series With Autoregressive Errors,” Journal of Econometrics, 53, 323-343.
10. DeJong, D., and Whiteman, C. (1991), “The Temporal Stability of Dividends and Stock Prices: Evidence From the Likelihood Function,” American Economic Review, 81, 600-617.
11. DeJong, D., and Whiteman, C. (1992), “More Unsettling Evidence on the Perfect Market Hypothesis,” Federal Reserve Bank of Atlanta Economic Review, 77, 1-13.
12. DeJong, D., and Whiteman, C. (1994), “Modelling Stock Prices Without Knowing How to Induce Stationarity,” Econometric Theory, 10, 701-719.
13. Doan, T., Litterman, R., and Sims, C. (1984), “Forecasting and Conditional Projection Using Realistic Prior Distributions,” Econometric Reviews, 3, 1-100.
14. Epstein, L., and Zin, S. (1991), “Substitution, Risk Aversion, and the Temporal Behavior of Asset Returns: An Empirical Analysis,” Journal of Political Economy, 99, 263-287.
15. Friend, I., and Blume, M. (1975), “The Demand for Risky Assets,” American Economic Review, 65, 900-923.
16. Grossman, S., and Shiller, R. (1981), “The Determinants of the Variability of Stock Market Prices,” American Economic Review, 71, 222-227.
17. Hansen, L., and Singleton, K. (1982), “Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models,” Econometrica, 50, 1269-1286.
18. Hansen, L., and Singleton, K. (1983), “Stochastic Consumption, Risk Aversion and the Temporal Behavior of Asset Returns,” Journal of Political Economy, 91, 249-265.
19. Hansen, L., and Singleton, K. (1984), “Errata,” Econometrica, 52, 267-268.
20. Jacobs, K. (1999), “Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result From Aggregation Problems?” Journal of Finance, 54, 123-164.
21. Kandel, S., and Stambaugh, R. (1991), “Asset Returns and Intertemporal Preferences,” Journal of Monetary Economics, 27, 39-71.
22. Kocherlakota, N. (1990a), “On the ‘Discount’ Factor in Growth Economies,” Journal of Monetary Economics, 25, 43-47.
23. Kocherlakota, N. (1990b), “On Tests of Representative Consumer Asset Pricing Models,” Journal of Monetary Economics, 26, 285-304.
24. Kocherlakota, N. (1996), “The Equity Premium: It’s Still a Puzzle,” Journal of Economic Literature, 34, 42-71.
25. LeRoy, S., and Porter, R. (1981), “The Present-Value Relation: Tests Based on Implied Variance Bounds,” Econometrica, 49, 555-574.
26. Mankiw, N., and Zeldes, S. (1991), “The Consumption of Stockholders and Non-Stockholders,” Journal of Financial Economics, 29, 97-112.
27. Marsh, T., and Merton, R. (1986), “Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices,” American Economic Review, 76, 483-98.
28. Mehra, R., and Prescott, E. (1985), “The Equity Premium: A Puzzle,” Journal of Monetary Economics, 15, 145-161.
29. Nelson, C., and Plosser, C. (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10, 139-162.
30. Shiller, R. (1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?” American Economic Review, 71, 421-436.
31. Tauchen, G. (1986), “Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data,” Journal of Business Economic Statistics, 4, 397-425.