-
1
-
-
0003007882
-
Asset prices under habit formation and catching up with the joneses
-
Abel, A. B., 1990, "Asset Prices under Habit Formation and Catching up with the Joneses," American Economic Review Papers and Proceedings, 80, 38-42.
-
(1990)
American Economic Review Papers and Proceedings
, vol.80
, pp. 38-42
-
-
Abel, A.B.1
-
2
-
-
84993905064
-
Time-varying world market integration
-
Bekaert, G., and C. R. Harvey, 1995, "Time-Varying World Market Integration," Journal of Finance, 50, 403-444.
-
(1995)
Journal of Finance
, vol.50
, pp. 403-444
-
-
Bekaert, G.1
Harvey, C.R.2
-
3
-
-
0001366709
-
Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
-
Brewer, K. R. W., 1973, "Some Consequences of Temporal Aggregation and Systematic Sampling for ARMA and ARMAX Models," Journal of Econometrics, 1, 133-154.
-
(1973)
Journal of Econometrics
, vol.1
, pp. 133-154
-
-
Brewer, K.R.W.1
-
4
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, J. Y, 1987, "Stock Returns and the Term Structure," Journal of Financial Economics, 18, 373-400.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-400
-
-
Campbell, J.Y.1
-
5
-
-
0000735805
-
Understanding risk and return
-
Campbell, J. Y., 1996, "Understanding Risk and Return," Journal of Political Economy, 104, 298-345.
-
(1996)
Journal of Political Economy
, vol.104
, pp. 298-345
-
-
Campbell, J.Y.1
-
6
-
-
0032771542
-
By force of habit: A consumption-based explanation of aggregate stock market behavior
-
Campbell, J. Y., and J. H. Cochrane, 1999, "By Force of Habit: a Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, 107, 205-252.
-
(1999)
Journal of Political Economy
, vol.107
, pp. 205-252
-
-
Campbell, J.Y.1
Cochrane, J.H.2
-
7
-
-
0000007521
-
The dividend-price ratio and expectations of future dividends and discount factors
-
Campbell, J. Y., and R. J. Shiller, 1988, "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, 1, 195-228.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 195-228
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
8
-
-
84935322716
-
Habit formation: A resolution of the equity premium puzzle
-
Constantinides, G. M., 1990, "Habit Formation: a Resolution of the Equity Premium Puzzle," Journal of Political Economy, 98, 519-543.
-
(1990)
Journal of Political Economy
, vol.98
, pp. 519-543
-
-
Constantinides, G.M.1
-
9
-
-
38149144734
-
Do stationary risk premiums explain it all? evidence from the term structure
-
Evans, M. D. D., and K. K. Lewis, 1994, "Do Stationary Risk Premiums Explain it All? Evidence from the Term Structure," Journal of Monetary Economics, 31, 285-318.
-
(1994)
Journal of Monetary Economics
, vol.31
, pp. 285-318
-
-
Evans, M.D.D.1
Lewis, K.K.2
-
10
-
-
84993907289
-
Do expected shifts in inflation affect estimates of the long-run fisher relation?
-
Evans, M. D. D., and K. K. Lewis, 1995, "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?" Journal of Finance, 50, 225-253.
-
(1995)
Journal of Finance
, vol.50
, pp. 225-253
-
-
Evans, M.D.D.1
Lewis, K.K.2
-
11
-
-
0002056097
-
Dividend yields and expected stock returns
-
Fama, E. F., and K. R. French, 1988, "Dividend Yields and Expected Stock Returns," Journal of Financial Economics, 22, 3-25.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 3-25
-
-
Fama, E.F.1
French, K.R.2
-
12
-
-
0000853427
-
Habit formation and durability in aggregate consumption: Empirical tests
-
Ferson, W. E., and G. M. Constantinides, 1991, "Habit Formation and Durability in Aggregate Consumption: Empirical Tests," Journal of Financial Economics, 29, 199-240.
-
(1991)
Journal of Financial Economics
, vol.29
, pp. 199-240
-
-
Ferson, W.E.1
Constantinides, G.M.2
-
13
-
-
84934453931
-
The variation of economic risk premiums
-
Ferson, W. E., and C. R. Harvey, 1991, "The Variation of Economic Risk Premiums," Journal of Political Economy, 99, 385-415.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 385-415
-
-
Ferson, W.E.1
Harvey, C.R.2
-
14
-
-
84977722856
-
Seasonality and consumption-based asset pricing
-
Ferson, W. E., and C. R. Harvey, 1992, "Seasonality and Consumption-Based Asset Pricing," Journal of Finance, 47, 511-552.
-
(1992)
Journal of Finance
, vol.47
, pp. 511-552
-
-
Ferson, W.E.1
Harvey, C.R.2
-
15
-
-
21344486016
-
The risk and predictability of international equity returns
-
Ferson, W. E., and C. R. Harvey, 1993a, "The Risk and Predictability of International Equity Returns," Review of Financial Studies, 6, 527-566.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 527-566
-
-
Ferson, W.E.1
Harvey, C.R.2
-
16
-
-
0039201524
-
Seasonality and heteroskedasticity in consumption-based asset pricing: An analysis of linear models
-
Ferson, W. E., and C. R. Harvey, 1993b, "Seasonality and Heteroskedasticity in Consumption-Based Asset Pricing: an Analysis of Linear Models," Research in Finance, 11, 1-35.
-
(1993)
Research in Finance
, vol.11
, pp. 1-35
-
-
Ferson, W.E.1
Harvey, C.R.2
-
17
-
-
45949126440
-
Non-stationarity and stage of the business-cycle effects in consumption-based asset pricing relations
-
Ferson, W. E., and J. J. Merrick, Jr., 1987, "Non-Stationarity and Stage of the Business-Cycle Effects in Consumption-Based Asset Pricing Relations," Journal of Financial Economics, 18, 127-146.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 127-146
-
-
Ferson, W.E.1
Merrick J.J., Jr.2
-
19
-
-
84993601065
-
On the relation between the expected value and the volatility of the nominal excess return on stocks
-
Glosten, L., R. Jagannathan, and D. Runkle, 1993, "On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, 48, 1779-1801.
-
(1993)
Journal of Finance
, vol.48
, pp. 1779-1801
-
-
Glosten, L.1
Jagannathan, R.2
Runkle, D.3
-
20
-
-
0000414660
-
Large sample properties of generalized method of moments estimators
-
Hansen, L. P., 1982, "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, 50, 1029-1084.
-
(1982)
Econometrica
, vol.50
, pp. 1029-1084
-
-
Hansen, L.P.1
-
21
-
-
0039873162
-
Restrictions on intertemporal marginal rates of substitution implied by asset returns
-
Hansen, L. P., and R. Jagannathan, 1991, "Restrictions on Intertemporal Marginal Rates of Substitution Implied by Asset Returns," Journal of Political Economy, 99, 225-262.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 225-262
-
-
Hansen, L.P.1
Jagannathan, R.2
-
22
-
-
0000425816
-
Time-varying conditional covariances in tests of asset pricing models
-
Harvey, C. R., 1989, "Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics, 24, 289-317.
-
(1989)
Journal of Financial Economics
, vol.24
, pp. 289-317
-
-
Harvey, C.R.1
-
23
-
-
84977722638
-
The world price of covariance risk
-
Harvey, C. R., 1991, "The World Price of Covariance Risk," Journal of Finance, 46, 111-157.
-
(1991)
Journal of Finance
, vol.46
, pp. 111-157
-
-
Harvey, C.R.1
-
24
-
-
0009036165
-
Tests of relations among marketwide factors, firm-specific variables, and stock returns using a conditional asset pricing model
-
He, J., R. Kan, L. Ng, and C. Zhang, 1996, "Tests of Relations among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model, Journal of Finance, 51, 1891-1908.
-
(1996)
Journal of Finance
, vol.51
, pp. 1891-1908
-
-
He, J.1
Kan, R.2
Ng, L.3
Zhang, C.4
-
25
-
-
0000519804
-
The interaction between time-nonseparable preferences and time aggregation
-
Heaton, J., 1993, "The Interaction Between Time-Nonseparable Preferences and Time Aggregation," Econometrica, 61, 353-385.
-
(1993)
Econometrica
, vol.61
, pp. 353-385
-
-
Heaton, J.1
-
26
-
-
0000900299
-
An empirical investigation of asset pricing with temporally dependent preference specifications
-
Heaton, J., 1995, "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, 63, 681-717.
-
(1995)
Econometrica
, vol.63
, pp. 681-717
-
-
Heaton, J.1
-
27
-
-
0000789996
-
Dividend yields and expected stock returns: Alternative procedures for inference and measurement
-
Hodrick, R. J., 1992, "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, 5, 357-386.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 357-386
-
-
Hodrick, R.J.1
-
28
-
-
0000781833
-
Expectations and volatility of consumption and asset returns
-
Kandel, S., and R. F. Stambaugh, 1990, "Expectations and Volatility of Consumption and Asset Returns," Review of Financial Studies, 3, 207-232.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 207-232
-
-
Kandel, S.1
Stambaugh, R.F.2
-
29
-
-
44949277629
-
Asset returns and intertemporal preferences
-
Kandel, S., and R. F. Stambaugh, 1991, "Asset Returns and Intertemporal Preferences," Journal of Monetary Economics, 27, 39-71.
-
(1991)
Journal of Monetary Economics
, vol.27
, pp. 39-71
-
-
Kandel, S.1
Stambaugh, R.F.2
-
30
-
-
0038812564
-
Expected stock returns, risk premia, and volatilities of economic factors
-
Li, Y., 1998a, "Expected Stock Returns, Risk Premia, and Volatilities of Economic Factors," Journal of Empirical Finance, 5, 69-97.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 69-97
-
-
Li, Y.1
-
31
-
-
0000891437
-
Time variation in risk premia, volatility, and reward-to-volatility
-
Li, Y, 1998b, "Time Variation in Risk Premia, Volatility, and Reward-to-Volatility," Journal of Financial Research, 21, 431-446.
-
(1998)
Journal of Financial Research
, vol.21
, pp. 431-446
-
-
Li, Y.1
-
32
-
-
0001751260
-
Hypothesis testing with efficient method of moments estimation
-
Newey, W. K., and K. D. West, 1987a, "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, 28, 777-787.
-
(1987)
International Economic Review
, vol.28
, pp. 777-787
-
-
Newey, W.K.1
West, K.D.2
-
33
-
-
0000706085
-
A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix estimator
-
Newey, W. K., and K. D. West, 1987b, "A Simple Positive Semi-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
35
-
-
0039165833
-
Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach
-
Scruggs, J. T., 1998, "Resolving the Puzzling Intertemporal Relation Between the Market Risk Premium and Conditional Market Variance: a Two-Factor Approach," Journal of Finance, 53, 575-604.
-
(1998)
Journal of Finance
, vol.53
, pp. 575-604
-
-
Scruggs, J.T.1
-
36
-
-
0002387168
-
Intertemporally dependent preferences and the volatility of consumption and wealth
-
Sundaresan, S. M., 1989, "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth," Review of Financial Studies, 2, 73-88.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 73-88
-
-
Sundaresan, S.M.1
-
37
-
-
84993911684
-
Time variation and covariations in the expectation and volatility of stock market returns
-
Whitelaw, R. F., 1994, "Time Variation and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, 49, 515-541.
-
(1994)
Journal of Finance
, vol.49
, pp. 515-541
-
-
Whitelaw, R.F.1
|