메뉴 건너뛰기




Volumn 30, Issue 7, 2006, Pages 2087-2107

Time-varying risk premia and the cross section of stock returns

Author keywords

Cross section of stock returns; Momentum profit; Stock return predictability; Time varying investment opportunities; Value premium

Indexed keywords


EID: 33746903984     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.05.022     Document Type: Article
Times cited : (30)

References (44)
  • 1
    • 0010023511 scopus 로고
    • The relationship between return and market value of common stocks
    • Banz R. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1981) 3-18
    • (1981) Journal of Financial Economics , vol.9 , pp. 3-18
    • Banz, R.1
  • 2
    • 84916936900 scopus 로고
    • The investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis
    • Basu S. The investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. Journal of Finance 32 (1977) 663-682
    • (1977) Journal of Finance , vol.32 , pp. 663-682
    • Basu, S.1
  • 3
    • 84977364496 scopus 로고
    • Agency costs, net worth, and business fluctuations
    • Bernanke B., and Gertler M. Agency costs, net worth, and business fluctuations. American Economic Review 79 (1989) 14-31
    • (1989) American Economic Review , vol.79 , pp. 14-31
    • Bernanke, B.1    Gertler, M.2
  • 4
    • 0033409775 scopus 로고    scopus 로고
    • Implementing statistical criteria to select return forecasting models: What do we learn?
    • Bossaerts P., and Hillion P. Implementing statistical criteria to select return forecasting models: What do we learn?. Review of Financial Studies 12 (1999) 405-428
    • (1999) Review of Financial Studies , vol.12 , pp. 405-428
    • Bossaerts, P.1    Hillion, P.2
  • 5
    • 4344675434 scopus 로고    scopus 로고
    • Estimation and test of a simple model of intertemporal asset pricing
    • Brennan M., Wang A., and Xia Y. Estimation and test of a simple model of intertemporal asset pricing. Journal of Finance 59 (2004) 1743-1775
    • (2004) Journal of Finance , vol.59 , pp. 1743-1775
    • Brennan, M.1    Wang, A.2    Xia, Y.3
  • 6
    • 0001077372 scopus 로고
    • Intertemporal asset pricing without consumption data
    • Campbell J. Intertemporal asset pricing without consumption data. American Economic Review 83 (1993) 487-512
    • (1993) American Economic Review , vol.83 , pp. 487-512
    • Campbell, J.1
  • 7
  • 10
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart M. On persistence in mutual fund performance. Journal of Finance 52 (1997) 57-82
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 11
    • 33746913407 scopus 로고    scopus 로고
    • Chen, J., 2002. Intertemporal CAPM and the cross-section of stock returns. Unpublished Working Paper, University of Southern California.
  • 12
    • 0042594655 scopus 로고    scopus 로고
    • Momentum, business cycle, and time-varying expected returns
    • Chordia T., and Shivakumar L. Momentum, business cycle, and time-varying expected returns. Journal of Finance 57 (2002) 985-1019
    • (2002) Journal of Finance , vol.57 , pp. 985-1019
    • Chordia, T.1    Shivakumar, L.2
  • 13
    • 0030452013 scopus 로고    scopus 로고
    • A cross-sectional test of an investment-based asset pricing model
    • Cochrane J. A cross-sectional test of an investment-based asset pricing model. Journal of Political Economy 104 (1996) 572-621
    • (1996) Journal of Political Economy , vol.104 , pp. 572-621
    • Cochrane, J.1
  • 15
    • 84935429666 scopus 로고
    • Substitution, risk aversion and the temporal behavior of asset returns
    • Epstein L., and Zin S. Substitution, risk aversion and the temporal behavior of asset returns. Journal of Political Economy 99 (1989) 263-286
    • (1989) Journal of Political Economy , vol.99 , pp. 263-286
    • Epstein, L.1    Zin, S.2
  • 16
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama E., and French K. The cross-section of expected stock returns. Journal of Finance 47 (1992) 427-465
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.1    French, K.2
  • 17
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama E., and French K. Multifactor explanations of asset pricing anomalies. Journal of Finance 51 (1996) 55-84
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.1    French, K.2
  • 18
    • 43949159894 scopus 로고
    • Finite sample properties of the generalized method of moments in tests of conditional asset pricing models
    • Ferson W., and Forester S. Finite sample properties of the generalized method of moments in tests of conditional asset pricing models. Journal of Financial Economics 36 (1994) 29-55
    • (1994) Journal of Financial Economics , vol.36 , pp. 29-55
    • Ferson, W.1    Forester, S.2
  • 19
    • 33746926666 scopus 로고    scopus 로고
    • Grinblatt, M., Moskowitz, T., 2002. What do we really know about the cross-sectional relation between past and expected returns? Unpublished Working Paper, University of California at Los Angeles.
  • 20
    • 0038002643 scopus 로고    scopus 로고
    • Predicting the equity premium with dividend ratios
    • Goyal A., and Welch I. Predicting the equity premium with dividend ratios. Management Science 49 (2003) 639-654
    • (2003) Management Science , vol.49 , pp. 639-654
    • Goyal, A.1    Welch, I.2
  • 21
    • 4644360188 scopus 로고    scopus 로고
    • Limited stock market participation and asset prices in a dynamic economy
    • Guo H. Limited stock market participation and asset prices in a dynamic economy. Journal of Financial and Quantitative Analysis 39 (2004) 495-516
    • (2004) Journal of Financial and Quantitative Analysis , vol.39 , pp. 495-516
    • Guo, H.1
  • 22
    • 30744454344 scopus 로고    scopus 로고
    • Guo, H., in press. On the out-of-sample predictability of stock market returns, Journal of Business 79.
  • 23
    • 33746916724 scopus 로고    scopus 로고
    • Guo, H., Whitelaw, R., in press. Uncovering the risk-return relation in the stock market. Journal of Finance.
  • 24
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen L. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.1
  • 25
    • 0010274340 scopus 로고    scopus 로고
    • Assessing specification errors in stochastic discount factor models
    • Hansen L., and Jagannathan R. Assessing specification errors in stochastic discount factor models. Journal of Finance 52 (1997) 557-590
    • (1997) Journal of Finance , vol.52 , pp. 557-590
    • Hansen, L.1    Jagannathan, R.2
  • 26
    • 0040186059 scopus 로고    scopus 로고
    • Conditional skewness in asset pricing tests
    • Harvey C., and Siddique A. Conditional skewness in asset pricing tests. Journal of Finance 55 (2000) 1263-1295
    • (2000) Journal of Finance , vol.55 , pp. 1263-1295
    • Harvey, C.1    Siddique, A.2
  • 27
    • 0035510969 scopus 로고    scopus 로고
    • Evaluating the specification errors of asset pricing models
    • Hodrick R., and Zhang X. Evaluating the specification errors of asset pricing models. Journal of Financial Economics 62 (2001) 327-376
    • (2001) Journal of Financial Economics , vol.62 , pp. 327-376
    • Hodrick, R.1    Zhang, X.2
  • 28
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh N., and Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 29
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of alternative explanations
    • Jegadeesh N., and Titman S. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance 56 (2001) 699-720
    • (2001) Journal of Finance , vol.56 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 30
    • 84993869066 scopus 로고
    • Contrarian investment, extrapolation, and risk
    • Lakonishok J., Shleifer A., and Vishny R. Contrarian investment, extrapolation, and risk. Journal of Finance 49 (1994) 1541-1578
    • (1994) Journal of Finance , vol.49 , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.3
  • 31
    • 0010734388 scopus 로고    scopus 로고
    • Price momentum and trading volume
    • Lee C., and Swaminathan B. Price momentum and trading volume. Journal of Finance 55 (2000) 1217-1269
    • (2000) Journal of Finance , vol.55 , pp. 1217-1269
    • Lee, C.1    Swaminathan, B.2
  • 32
    • 0012462939 scopus 로고    scopus 로고
    • Consumption, aggregate wealth, and expected stock returns
    • Lettau M., and Ludvigson S. Consumption, aggregate wealth, and expected stock returns. Journal of Finance 56 (2001) 815-849
    • (2001) Journal of Finance , vol.56 , pp. 815-849
    • Lettau, M.1    Ludvigson, S.2
  • 33
    • 33746907375 scopus 로고    scopus 로고
    • Lettau, M., Ludvigson, S., 2002. Measuring and modeling variation in the risk-return tradeoff. Unpublished Working Paper, New York University.
  • 34
    • 0039630797 scopus 로고    scopus 로고
    • Intertemporal asset pricing without consumption data: Empirical tests
    • Li Y. Intertemporal asset pricing without consumption data: Empirical tests. Journal of Financial Research 20 (1997) 53-69
    • (1997) Journal of Financial Research , vol.20 , pp. 53-69
    • Li, Y.1
  • 35
    • 84980100064 scopus 로고
    • Security prices, risk and maximal gains from diversification
    • Lintner J. Security prices, risk and maximal gains from diversification. Journal of Finance 20 (1965) 587-615
    • (1965) Journal of Finance , vol.20 , pp. 587-615
    • Lintner, J.1
  • 36
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton R. An intertemporal capital asset pricing model. Econometrica 41 (1973) 867-887
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.1
  • 37
    • 85025724501 scopus 로고
    • On estimating the expected return on the market: An exploratory investigation
    • Merton R. On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics 8 (1980) 323-361
    • (1980) Journal of Financial Economics , vol.8 , pp. 323-361
    • Merton, R.1
  • 38
    • 0001751260 scopus 로고
    • Hypothesis testing with efficient method of moments estimation
    • Newey W., and West K. Hypothesis testing with efficient method of moments estimation. International Economic Review 28 (1987) 777-787
    • (1987) International Economic Review , vol.28 , pp. 777-787
    • Newey, W.1    West, K.2
  • 40
    • 0001735652 scopus 로고
    • Indexes of stock prices from 1802 to 1987
    • Schwert G. Indexes of stock prices from 1802 to 1987. Journal of Business 63 (1990) 399-426
    • (1990) Journal of Business , vol.63 , pp. 399-426
    • Schwert, G.1
  • 41
    • 7244231862 scopus 로고    scopus 로고
    • Anomalies and market efficiency
    • Constantinides G., Harris M., and Stulz R. (Eds), North-Holland, Amsterdam
    • Schwert G. Anomalies and market efficiency. In: Constantinides G., Harris M., and Stulz R. (Eds). Handbook of the Economics of Finance vol. 1B (2003), North-Holland, Amsterdam 937-972
    • (2003) Handbook of the Economics of Finance , vol.1 B , pp. 937-972
    • Schwert, G.1
  • 42
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • Sharpe W. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19 (1964) 425-442
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.1
  • 43
    • 0000997472 scopus 로고
    • Macroeconomics and reality
    • Sims C. Macroeconomics and reality. Econometrica 48 (1980) 1-48
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.1
  • 44
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48 (1980) 817-838
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.