Equilibrium cross section of returns

Journal of Political Economy

Volumn 111, Issue 4, 2003, Pages 693-732

  Gomes, Joao ^a   Kogan, Leonid ^b   Zhang, Lu ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c UNIVERSITY OF ROCHESTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FIRM SIZE; INDUSTRIAL PERFORMANCE; STOCK MARKET; THEORETICAL STUDY;

EID: 0042907646     PISSN: 00223808     EISSN: None     Source Type: Journal    
DOI: 10.1086/375379     Document Type: Article

References (45)

1. Berk, Jonathan B. "A Critique of Size-Related Anomalies." Rev. Financial Studies 8 (Summer 1995): 275-86.
2. Berk, Jonathan B.; Green, Richard C.; and Naik, Vasant. "Optimal Investment, Growth Options, and Security Returns." J. Finance 54 (October 1999): 1553-1607.
3. Bossaerts, Peter, and Green, Richard C. "A General Equilibrium Model of Changing Risk Premia: Theory and Tests." Rev. Financial Studies 2 (Winter 1989): 467-93.
4. Breeden, Douglas T. "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities." J. Financial Econ. 7 (September 1979): 265-96.
5. Campbell, John Y. "Asset Pricing at the Millennium." J. Finance 55 (August2000): 1515-67.
6. Campbell, John Y. "Consumption-Based Asset Pricing." In Handbook of the Economics of Finance, vol. 1B, edited by George M. Constantinides, Milton Harris, and Rene M. Stulz. Amsterdam: North-Holland, 2003 (in press).
7. Campbell, John Y., and Cochrane, John H. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models." J. Finance 55 (December 2000): 2863-78.
8. Campbell, John Y.; Lettau, Martin; Malkiel, Burton G.; and Xu, Yexiao. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk." J. Finance 56 (February 2001): 1-43.
9. Campbell, John Y.; Lo, Andrew W.; and MacKinlay, A. Craig. The Econometrics of Financial Markets. Princeton, N.J.: Princeton Univ. Press, 1997.
10. Chan, K. C., and Chen, Nai-Fu. "An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk." J. Finance 43 (June 1988): 309-25.
11. Cochrane, John H. "Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations." J. Finance 46 (March 1991): 209-37.
12. Cochrane, John H. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model." J.P.E. 104 Uune 1996): 572-621.
13. Cochrane, John H. "New Facts in Finance." Fed. Reserve Bank Chicago Econ. Perspectives 23 (3d quarter 1999): 36-58.
14. Coleman, Wilbur J., II. "Behavior of Interest Rates in a General Equilibrium Multisector Model with Irreversible Investment." Macroeconomic Dynamics 1, no. 1 (1997): 206-27.
15. Duffie, Darrell. Dynamic Asset Pricing Theory. 2d ed. Princeton, N.J.: Princeton Univ. Press, 1996.
16. Evans, David S. "The Relationship between Firm Growth, Size, and Age: Estimates for 100 Manufacturing Industries." J. Indus. Econ. 35 (June 1987): 567-81.
17. Fama, Eugene F., and French, Kenneth R. "The Cross-Section of Expected Stock Returns." J. Finance 47 (June 1992): 427-65.
18. Fama, Eugene F. "Common Risk Factors in the Returns on Stocks and Bonds." J. Financial Econ. 33 (February 1993): 3-56.
19. Fama, Eugene F. "Size and Book-to-Market Factors in Earnings and Returns." J. Finance 50 (March 1995): 131-55.
20. Fama, Eugene F. "Multifactor Explanations of Asset Pricing Anomalies." J. Finance 51 (March 1996): 55-84.
21. Fama, Eugene F., and MacBeth, James D. "Risk, Return, and Equilibrium: Empirical Tests." J.P.E. 81 (May/June 1973): 607-36.
22. Feldman, Mark, and Gilles, Christian. "An Expository Note on Individual Risk without Aggregate Uncertainty." J. Econ. Theory 35 (February 1985): 26-32.
23. Ferson Wayne E., and Harvey, Campbell R. "Conditional Variables and the Cross Section of Stock Returns." J. Finance 54 (August 1999): 1325-60.
24. Ferson, Wayne E.; Kandel, Shmuel; and Stambaugh, Robert F. "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas." J. Finance 42 (June 1987): 201-20.
25. Gomes, Joao; Yaron, Amir; and Zhang, Lu. "Asset Pricing Implications for Firms' Financing Constraints." Manuscript. Philadelphia: Univ. Pennsylvania, Wharton School, Finance Dept., 2002.
26. Hall, Bronwyn H. "The Relationship between Firm Size and Firm Growth in the U.S. Manufacturing Sector." J. Indus. Econ. 35 (June 1987): 583-606.
27. Jagannathan, Ravi, and Wang, Zhenyu. "The Conditional CAPM and the Cross-Section of Expected Returns." J. Finance 51 (March 1996): 3-53.
28. Jermann, Urban J. "Asset Pricing in Production Economies." J. Monetary Econ. 41 (April 1998): 257-75.
29. Judd, Kenneth L. "The Law of Large Numbers with a Continuum of IID Random Variables." J. Econ. Theory 35 (February 1985): 19-25.
30. Kaldor, Nicholas. "Capital Accumulation and Economic Growth." In The Theory of Capital: Proceedings of a Conference Held by the International Economic Association, edited by Friedrich A. Lutz and Douglas C. Hague. London: Macmillan, 1961.
31. Kogan, Leonid. "Asset Prices and Irreversible Real Investment." Manuscript. Cambridge: Massachusetts Inst. Tech., Sloan School Management, 2000.
32. Kogan, Leonid. "An Equilibrium Model of Irreversible Investment." J. Financial Econ. 62 (November 2001): 201-45.
33. Kothari, S. P.; Shanken, Jay; and Sloan, Richard G. "Another Look at the Cross-Section of Expected Stock Returns." J. Finance 50 (March 1995): 185-224.
34. Lakonishok, Josef; Shleifer, Andrei; and Vishny, Robert W. "Contrarian Investment, Extrapolation, and Risk." J. Finance 49 (December 1994): 1541-78.
35. Lettau, Martin, and Ludvigson, Sydney. "Resurrecting the (C) CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying." J.P.E. 109 (December 2001): 1238-87.
36. Liew, Jimmy, and Vassalou, Maria. "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth?" J. Financial Econ. 57 (August 2000): 221-45.
37. Lo, Andrew W., and MacKinlay, A. Craig. "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." Rev. Financial Studies 1 (Spring 1988): 41-66.
38. MacKinlay, A. Craig. "Multifactor Models Do Not Explain Deviations from the CAPM." J. Financial Econ. 38 (May 1995): 3-28.
39. Naik, Vasanttilak. "Asset Prices in Dynamic Production Economies with Time-Varying Risk." Rev. Financial Studies 7 (Winter 1994): 781-801.
40. Pontiff, Jeffrey, and Schall, Lawrence D. "Book-to-Market Ratios as Predictors of Market Returns." J. Financial Econ. 49 (August 1998): 141-60.
41. Roll, Richard. "A Critique of Asset Pricing Theory's Test: Part I: On Past and Potential Testability of the Theory." J. Financial Econ. 4 (March 1977): 129-76.
42. Rouwenhorst, K. Geert. "Asset Pricing Implications of Equilibrium Business Cycle Models." In Frontiers of Business Cycle Research, edited by Thomas F. Cooley. Princeton, N.J.: Princeton Univ. Press, 1995.
43. Stivers, Christopher T. "Firm-Level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns." Manuscript. Athens: Univ. Georgia, Terry Coll. Bus., 2001.
44. Vuolteenaho, Tuomo. "What Drives Firm-Level Stock Returns?" J. Finance 57 (February 2002): 233-64.
45. Zhang, Lu. "The Value Premium." Manuscript. Rochester, N.Y.: Univ. Rochester, Simon Grad. School Bus. Admin., 2002.