메뉴 건너뛰기




Volumn 14, Issue 3, 2001, Pages 861-899

Expected returns and habit persistence

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0039301878     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/14.3.861     Document Type: Article
Times cited : (55)

References (37)
  • 1
    • 0003007882 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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
  • 6
    • 0032771542 scopus 로고    scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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
  • 12
    • 0000853427 scopus 로고
    • 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
  • 14
    • 84977722856 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고    scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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
  • 30
    • 0038812564 scopus 로고    scopus 로고
    • 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 scopus 로고    scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고    scopus 로고
    • 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 scopus 로고
    • 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 scopus 로고
    • 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


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.