메뉴 건너뛰기




Volumn 72, Issue 3, 2005, Pages 917-946

Likelihood evidence on the asset returns puzzle

Author keywords

[No Author keywords available]

Indexed keywords

EQUITY; MODELING; STOCHASTICITY;

EID: 22144452853     PISSN: 00346527     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-937X.2005.00356.x     Document Type: Article
Times cited : (9)

References (34)
  • 1
    • 0032771542 scopus 로고    scopus 로고
    • "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior"
    • CAMPBELL, J. Y. and COCHRANE, J. H. (1999), "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", Journal of Political Economy, 107, 205-251.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 2
    • 38249005063 scopus 로고
    • "The Equity Premium and the Risk-Free Rate: Matching the Moments"
    • CECCHETTI, S. G., LAM, P.-S. and MARK, N. C. (1993), "The Equity Premium and the Risk-Free Rate: Matching the Moments", Journal of Monetary Economics, 31, 21-45.
    • (1993) Journal of Monetary Economics , vol.31 , pp. 21-45
    • Cecchetti, S.G.1    Lam, P.-S.2    Mark, N.C.3
  • 3
    • 0011507480 scopus 로고
    • "Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations"
    • CECCHETTI, S. G. and MARK, N. C. (1990), "Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations", American Economic Review, 80, 48-51.
    • (1990) American Economic Review , vol.80 , pp. 48-51
    • Cecchetti, S.G.1    Mark, N.C.2
  • 6
    • 0000593389 scopus 로고
    • "Simulated Moments Estimation of Markov Models of Asset Prices"
    • DUFFIE, D. and SINGLETON, K. J. (1994), "Simulated Moments Estimation of Markov Models of Asset Prices", Econometrica, 62, 929-952.
    • (1994) Econometrica , vol.62 , pp. 929-952
    • Duffie, D.1    Singleton, K.J.2
  • 8
    • 0001032163 scopus 로고
    • "Evaluating the Accuracy of Sampling Based Approaches to the Calculation of Posterior Moments"
    • J. O. Berger,J. M. Bernardo, A. P. Dawid and A. F. M. Smith (eds.) (Oxford: Oxford University Press)
    • GEWEKE, J. (1992), "Evaluating the Accuracy of Sampling Based Approaches to the Calculation of Posterior Moments", in J. O. Berger,J. M. Bernardo, A. P. Dawid and A. F. M. Smith (eds.) Proceedings of the Fourth Valencia International Meeting on Bayesian Statistics (Oxford: Oxford University Press) 169-194.
    • (1992) Proceedings of the Fourth Valencia International Meeting on Bayesian Statistics , pp. 169-194
    • Geweke, J.1
  • 9
    • 84986088295 scopus 로고
    • "Bayesian Treatment of the Independent Student-t Linear Model"
    • GEWEKE, J. (1993), "Bayesian Treatment of the Independent Student-t Linear Model", Journal of Applied Econometrics, 8, S19-S40.
    • (1993) Journal of Applied Econometrics , vol.8
    • Geweke, J.1
  • 10
    • 84974239933 scopus 로고
    • "Priors for Macroeconomic Time Series and their Application"
    • (Technical Appendix in Federal Reserve Bank of Minneapolis Discussion Paper No. 64, May 1992)
    • GEWEKE, J. (1994a), "Priors for Macroeconomic Time Series and their Application", Econometric Theory, 10, 609-632 (Technical Appendix in Federal Reserve Bank of Minneapolis Discussion Paper No. 64, May 1992).
    • (1994) Econometric Theory , vol.10 , pp. 609-632
    • Geweke, J.1
  • 11
    • 0005035127 scopus 로고
    • "Monte Carlo Simulation and Numerical Integration"
    • H. Amman, D. Kendrick and J. Rust (eds.) Chapter 15 (Amsterdam: North-Holland)
    • GEWEKE, J. (1994b), "Monte Carlo Simulation and Numerical Integration", in H. Amman, D. Kendrick and J. Rust (eds.) Handbook of Computational Economics, Chapter 15 (Amsterdam: North-Holland).
    • (1994) Handbook of Computational Economics
    • Geweke, J.1
  • 12
    • 0039255335 scopus 로고    scopus 로고
    • "Computational Experiments and Reality"
    • (Manuscript, Department of Economics, University of Minnesota)
    • GEWEKE, J. (1999), "Computational Experiments and Reality" (Manuscript, Department of Economics, University of Minnesota).
    • (1999)
    • Geweke, J.1
  • 13
    • 84914513057 scopus 로고
    • "The Determinants of the Variability of Stock Market Prices"
    • GROSSMAN, S. J. and SHILLER, R. J. (1981), "The Determinants of the Variability of Stock Market Prices", American Economic Review, 71, 222-227.
    • (1981) American Economic Review , vol.71 , pp. 222-227
    • Grossman, S.J.1    Shiller, R.J.2
  • 15
    • 84934563125 scopus 로고
    • "Implications of Security Market Data for Models of Dynamic Economies"
    • HANSEN, L. P. and JAGANNATHAN, R. (1991), "Implications of Security Market Data for Models of Dynamic Economies", Journal of Political Economy, 99, 225-262.
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 16
    • 0002437730 scopus 로고
    • "A Test for Normality of Observations and Regression Residuals"
    • JARQUE, C. M. and BERA, A. K. (1987), "A Test for Normality of Observations and Regression Residuals", International Statistical Review, 55, 163-172.
    • (1987) International Statistical Review , vol.55 , pp. 163-172
    • Jarque, C.M.1    Bera, A.K.2
  • 17
    • 0003414592 scopus 로고
    • 3rd edition (Oxford: Clarendon Press)
    • JEFFREYS, H. (1961) Theory of Probability, 3rd edition (Oxford: Clarendon Press).
    • (1961) Theory of Probability
    • Jeffreys, H.1
  • 18
    • 0000781833 scopus 로고
    • "Expectations and Volatility of Consumption and Asset Returns"
    • KANDEL, S. and STAMBAUGH, R. F. (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
  • 19
  • 20
    • 0031376807 scopus 로고    scopus 로고
    • "Testing the Consumption CAPM with Heavy-Tailed Pricing Errors"
    • KOCHERLAKOTA, N. R. (1997), "Testing the Consumption CAPM with Heavy-Tailed Pricing Errors", Macroeconomic Dynamics, 1, 551-567.
    • (1997) Macroeconomic Dynamics , vol.1 , pp. 551-567
    • Kocherlakota, N.R.1
  • 21
    • 0000611849 scopus 로고
    • "Stochastic Inflation and the Equity Premium"
    • LABADIE, P. (1986), "Stochastic Inflation and the Equity Premium", Journal of Monetary Economics, 24, 277-298.
    • (1986) Journal of Monetary Economics , vol.24 , pp. 277-298
    • Labadie, P.1
  • 22
    • 0041470854 scopus 로고
    • "The Estimation of Many Parameters"
    • V. P. Godambe and D. A. Sprott (eds.) (Holt, Rinehart and Winston Inc.)
    • LINDLEY, D. V. (1971), "The Estimation of Many Parameters", in V. P. Godambe and D. A. Sprott (eds.) Foundations of Statistical Inference (Holt, Rinehart and Winston Inc.).
    • (1971) Foundations of Statistical Inference
    • Lindley, D.V.1
  • 23
    • 0000150312 scopus 로고
    • "Asset Prices in an Exchange Economy"
    • LUCAS, R. E., Jr. (1978), "Asset Prices in an Exchange Economy", Econometrica, 66, 1429-1455.
    • (1978) Econometrica , vol.66 , pp. 1429-1455
    • Lucas Jr., R.E.1
  • 24
    • 0038963883 scopus 로고
    • "The Consumption of Stockholders and Non-Stockholders"
    • MANKIW, G. N. and ZELDES, S. P. (1991), "The Consumption of Stockholders and Non-Stockholders", Journal of Financial Economics, 17, 211-219.
    • (1991) Journal of Financial Economics , vol.17 , pp. 211-219
    • Mankiw, G.N.1    Zeldes, S.P.2
  • 27
    • 0042742904 scopus 로고
    • "Posterior Predictive p-Values"
    • MENG, X. L. (1994), "Posterior Predictive p-Values", Annals of Statistics, 22, 1142-1160.
    • (1994) Annals of Statistics , vol.22 , pp. 1142-1160
    • Meng, X.L.1
  • 28
    • 45549121696 scopus 로고
    • "The Equity Premium: A Solution"
    • RIETZ, T. A. (1988), "The Equity Premium: A Solution", Journal of Monetary Economics, 22, 17-33.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 17-33
    • Rietz, T.A.1
  • 29
    • 43949153069 scopus 로고
    • "Simple Conditions for the Convergence of the Gibbs Sampler and Metropolis-Hastings Algorithms"
    • ROBERTS, G. O. and SMITH, A. F. M. (1994), "Simple Conditions for the Convergence of the Gibbs Sampler and Metropolis-Hastings Algorithms", Stochastic Processes and their Applications, 49, 207-216.
    • (1994) Stochastic Processes and Their Applications , vol.49 , pp. 207-216
    • Roberts, G.O.1    Smith, A.F.M.2
  • 31
    • 0000576595 scopus 로고
    • "Markov Chains for Exploring Posterior Distributions (with Discussion)"
    • TIERNEY, L. (1994), "Markov Chains for Exploring Posterior Distributions (with Discussion)", Annals of Statistics, 22, 1701-1762.
    • (1994) Annals of Statistics , vol.22 , pp. 1701-1762
    • Tierney, L.1
  • 32
    • 0346940040 scopus 로고    scopus 로고
    • "Monte Carlo Inference in Econometric Models with Symmetric Stable Disturbances"
    • TSIONAS, E. G. (1999), "Monte Carlo Inference in Econometric Models with Symmetric Stable Disturbances", Journal of Econometrics, 88, 365-401.
    • (1999) Journal of Econometrics , vol.88 , pp. 365-401
    • Tsionas, E.G.1
  • 33
    • 0000108540 scopus 로고
    • "Outlier Models and Prior Distributions in Bayesian Linear Regression"
    • Series B
    • WEST, M. (1984), "Outlier Models and Prior Distributions in Bayesian Linear Regression", Journal of the American Statistical Association, Series B, 46, 431-439.
    • (1984) Journal of the American Statistical Association , vol.46 , pp. 431-439
    • West, M.1
  • 34
    • 0000723104 scopus 로고
    • "Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms"
    • ZELLNER, A. (1976), "Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms", Journal of the American Statistical Association, 71, 400-405.
    • (1976) Journal of the American Statistical Association , vol.71 , pp. 400-405
    • Zellner, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.