-
2
-
-
33645087144
-
The Cross-Section of Volatility and Expected Returns
-
Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2006a. The Cross-Section of Volatility and Expected Returns. Journal of Finance 61:259-99.
-
(2006)
Journal of Finance
, vol.61
, pp. 259-299
-
-
Ang, A.1
Hodrick, R.2
Xing, Y.3
Zhang, X.4
-
3
-
-
44849115745
-
-
Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2006b. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Unpublished Working Paper, Columbia University.
-
Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2006b. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Unpublished Working Paper, Columbia University.
-
-
-
-
4
-
-
0037244925
-
Modeling and Forecasting Realized Volatility
-
Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2003. Modeling and Forecasting Realized Volatility. Econometrica 71:579-625.
-
(2003)
Econometrica
, vol.71
, pp. 579-625
-
-
Andersen, T.1
Bollerslev, T.2
Diebold, F.3
Labys, P.4
-
5
-
-
0036221554
-
Determining the Number of Factors in Approximate Factor Models
-
Bai, J., and S. Ng. 2002. Determining the Number of Factors in Approximate Factor Models. Econometrica 70:191-221.
-
(2002)
Econometrica
, vol.70
, pp. 191-221
-
-
Bai, J.1
Ng, S.2
-
6
-
-
16244399196
-
Does Idiosyncratic Risk Really Matter?
-
Bali, T., N. Cakici, X. Yan, and Z. Zhang. 2005. Does Idiosyncratic Risk Really Matter? Journal of Finance 60:905-29.
-
(2005)
Journal of Finance
, vol.60
, pp. 905-929
-
-
Bali, T.1
Cakici, N.2
Yan, X.3
Zhang, Z.4
-
8
-
-
0007980113
-
Optimal Investment, Growth Options and Security Returns
-
Berk, J., R. Green, and V. Naik. 1999. Optimal Investment, Growth Options and Security Returns. Journal of Finance 54:1153-607.
-
(1999)
Journal of Finance
, vol.54
, pp. 1153-1607
-
-
Berk, J.1
Green, R.2
Naik, V.3
-
10
-
-
4344675434
-
Estimation and Test of a Simple Model of Intertemporal Asset Pricing
-
Brennan, M., A. Wang, and Y. Xia. 2004. Estimation and Test of a Simple Model of Intertemporal Asset Pricing. Journal of Finance 59:1743-75.
-
(2004)
Journal of Finance
, vol.59
, pp. 1743-1775
-
-
Brennan, M.1
Wang, A.2
Xia, Y.3
-
11
-
-
0001077372
-
Intertemporal Asset Pricing Without Consumption Data
-
Campbell, J.,1993, Intertemporal Asset Pricing Without Consumption Data. American Economic Review 83:487-512.
-
(1993)
American Economic Review
, vol.83
, pp. 487-512
-
-
Campbell, J.1
-
12
-
-
0002519023
-
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
-
Campbell, J., M. Lettau, B. Malkiel, and Y. Xu, 2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. Journal of Finance 56:1-43.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.1
Lettau, M.2
Malkiel, B.3
Xu, Y.4
-
13
-
-
0001397560
-
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
-
O. Blanchard and S. Fischer eds, Cambridge: MIT Press, pp
-
Campbell, J., and P. Perron. 1991. Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots, in O. Blanchard and S. Fischer (eds.), NBER Macroeconomics Annual. Cambridge: MIT Press, pp. 141-201.
-
(1991)
NBER Macroeconomics Annual
, pp. 141-201
-
-
Campbell, J.1
Perron, P.2
-
15
-
-
33745476615
-
Diverging Trends in Macro and Micro Volatility: Facts
-
Comin, D., and S. Mulani. 2006. Diverging Trends in Macro and Micro Volatility: Facts. Review of Economics and Statistics 88:374-83.
-
(2006)
Review of Economics and Statistics
, vol.88
, pp. 374-383
-
-
Comin, D.1
Mulani, S.2
-
16
-
-
33646803471
-
The Rise in Firm-Level Volatility: Causes and Consequences
-
M. Gertler and K. Rogoff eds, Cambridge: MIT Press, pp
-
Comin, D., and T Philippon. 2005. The Rise in Firm-Level Volatility: Causes and Consequences, in M. Gertler and K. Rogoff (eds.), NBER Macroeconomics Annual. Cambridge: MIT Press, pp. 167-202.
-
(2005)
NBER Macroeconomics Annual
, pp. 167-202
-
-
Comin, D.1
Philippon, T.2
-
17
-
-
0001094414
-
Stock Returns and Volatility: A Firm-Level Analysis
-
Duffee, G. 1995. Stock Returns and Volatility: A Firm-Level Analysis. Journal of Financial Economics 37:399-420.
-
(1995)
Journal of Financial Economics
, vol.37
, pp. 399-420
-
-
Duffee, G.1
-
18
-
-
0030356207
-
Efficient Tests for an Autoregressive Unit Root
-
Elliott, G., T. Rothenberg, and J. Stock. 1996. Efficient Tests for an Autoregressive Unit Root. Econometrica 64:813-36.
-
(1996)
Econometrica
, vol.64
, pp. 813-836
-
-
Elliott, G.1
Rothenberg, T.2
Stock, J.3
-
19
-
-
34250890715
-
Business Conditions and Expected Returns on Stocks and Bonds
-
Fama, E., and K. French. 1989. Business Conditions and Expected Returns on Stocks and Bonds. Journal of Financial Economics 25:23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
Fama, E.1
French, K.2
-
20
-
-
38549147867
-
Common Risk Factors in the Returns on Stocks and Bonds
-
Fama, E., and K. French. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33:3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.1
French, K.2
-
21
-
-
0013413658
-
Multifactor Explanations of Asset Pricing Anomalies
-
Fama, E., and K. French. 1996. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance 51:55-84.
-
(1996)
Journal of Finance
, vol.51
, pp. 55-84
-
-
Fama, E.1
French, K.2
-
22
-
-
11544342489
-
Value versus Growth: The International Evidence
-
Fama, E., and K. French. 1998. Value versus Growth: The International Evidence. Journal of Finance 53:1975-99.
-
(1998)
Journal of Finance
, vol.53
, pp. 1975-1999
-
-
Fama, E.1
French, K.2
-
23
-
-
0000928969
-
Risk, Return, and Equilibrium: Empirical Tests
-
Fama, E., and J. MacBeth. 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81:607-36.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.1
MacBeth, J.2
-
27
-
-
49449095257
-
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
-
Advance Access published on March 17, 10.1093/rfs/hhm014
-
Goyal, A. and I. Welch. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. The Review of Financial Studies. Advance Access published on March 17, 2007. 10.1093/rfs/hhm014.
-
(2007)
The Review of Financial Studies
-
-
Goyal, A.1
Welch, I.2
-
29
-
-
0004296209
-
-
Upper Saddle River, NJ: Prentice-Hall
-
Greene, W. 1997. Econometric Analysis, Upper Saddle River, NJ: Prentice-Hall.
-
(1997)
Econometric Analysis
-
-
Greene, W.1
-
30
-
-
30744467677
-
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
-
Guo, H., and R. Savickas. 2006. Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns. Journal of Business and Economic Statistics 24:43-56.
-
(2006)
Journal of Business and Economic Statistics
, vol.24
, pp. 43-56
-
-
Guo, H.1
Savickas, R.2
-
33
-
-
84977722638
-
The World Price of Covariance Risk
-
Harvey, C. 1991. The World Price of Covariance Risk. Journal of Finance 46:111-57.
-
(1991)
Journal of Finance
, vol.46
, pp. 111-157
-
-
Harvey, C.1
-
34
-
-
0038176749
-
Differences of Opinion, Short-Sales Constraints and Market Crashes
-
Hong, H., and J. Stein. 2003. Differences of Opinion, Short-Sales Constraints and Market Crashes. The Review of Financial Studies 16:487-525.
-
(2003)
The Review of Financial Studies
, vol.16
, pp. 487-525
-
-
Hong, H.1
Stein, J.2
-
35
-
-
0031138827
-
Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis
-
Kothari, S., and J. Shanken. 1997. Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis. Journal of Financial Economics 44:169-203.
-
(1997)
Journal of Financial Economics
, vol.44
, pp. 169-203
-
-
Kothari, S.1
Shanken, J.2
-
36
-
-
0002576369
-
Residual Risk Revisited
-
Lehmann, B. 1990. Residual Risk Revisited. Journal of Econometrics 45:71-97.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 71-97
-
-
Lehmann, B.1
-
37
-
-
0035681734
-
Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying
-
Lettau, M., and S. Ludvigson. 2001. Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying. Journal of Political Economy 109:1238-87.
-
(2001)
Journal of Political Economy
, vol.109
, pp. 1238-1287
-
-
Lettau, M.1
Ludvigson, S.2
-
38
-
-
33846191480
-
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
-
Lettau, M., and J. Wachter. 2007. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium. Journal of Finance 62:55-92.
-
(2007)
Journal of Finance
, vol.62
, pp. 55-92
-
-
Lettau, M.1
Wachter, J.2
-
39
-
-
84911608997
-
Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio
-
Levy, H. 1978. Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio. American Economic Review 68:643-58.
-
(1978)
American Economic Review
, vol.68
, pp. 643-658
-
-
Levy, H.1
-
40
-
-
44849118550
-
-
Malkiel, B., and Y. Xu. 2002. Idiosyncratic Risk and Security Returns. Unpublished Working Paper, University of Texas at Dallas.
-
Malkiel, B., and Y. Xu. 2002. Idiosyncratic Risk and Security Returns. Unpublished Working Paper, University of Texas at Dallas.
-
-
-
-
41
-
-
0001738730
-
An Intertemporal Capital Asset Pricing Model
-
Merton, R. 1973. An Intertemporal Capital Asset Pricing Model. Econometrica 41:867-87.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.1
-
42
-
-
85025724501
-
On Estimating the Expected Return on the Market: An Exploratory Investigation
-
Merton, R. 1980. On Estimating the Expected Return on the Market: An Exploratory Investigation. Journal of Financial Economics 8:323-61.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 323-361
-
-
Merton, R.1
-
43
-
-
0036272823
-
The PC Industry: New Economy or Early Life-Cycle?
-
Mazzucato, M. 2002. The PC Industry: New Economy or Early Life-Cycle? Review of Economic Dynamics 5:318-45.
-
(2002)
Review of Economic Dynamics
, vol.5
, pp. 318-345
-
-
Mazzucato, M.1
-
44
-
-
0000706085
-
A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
-
Newey, W., and K. West. 1987. A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-08.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
45
-
-
21844518679
-
Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
-
Ng, S., and P. Perron. 1995. Unit Root Tests in ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. Journal of the American Statistical Association 90:268-81.
-
(1995)
Journal of the American Statistical Association
, vol.90
, pp. 268-281
-
-
Ng, S.1
Perron, P.2
-
46
-
-
0142250349
-
Stock Valuation and Learning about Profitability
-
Pastor, L., and P. Veronesi. 2003. Stock Valuation and Learning about Profitability. Journal of Finance 58:1749-90.
-
(2003)
Journal of Finance
, vol.58
, pp. 1749-1790
-
-
Pastor, L.1
Veronesi, P.2
-
48
-
-
33644886041
-
Do the Fama-French Factors Proxy for Innovations in Predictive Variables?
-
Petkova, R. 2006. Do the Fama-French Factors Proxy for Innovations in Predictive Variables? Journal of Finance 61:581-612.
-
(2006)
Journal of Finance
, vol.61
, pp. 581-612
-
-
Petkova, R.1
-
49
-
-
0002215433
-
Book-to-Market Ratios as Predictors of Market Returns
-
Pontiff, J., and L. Schall. 1998. Book-to-Market Ratios as Predictors of Market Returns. Journal of Financial Economics 49:141-60.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 141-160
-
-
Pontiff, J.1
Schall, L.2
-
50
-
-
84977707955
-
Why Does Stock Market Volatility Change over Time?
-
Schwert, W. 1989. Why Does Stock Market Volatility Change over Time? Journal of Finance 44:1115-3.
-
(1989)
Journal of Finance
, vol.44
, pp. 1115-1123
-
-
Schwert, W.1
-
51
-
-
0002025664
-
Stock Volatility and the Crash of '87'
-
Schwert, W. 1990. Stock Volatility and the Crash of '87'. The Review of Financial Studies 3:77-102.
-
(1990)
The Review of Financial Studies
, vol.3
, pp. 77-102
-
-
Schwert, W.1
-
52
-
-
84977737369
-
Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987
-
Seyhun, N. 1990. Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987. Journal of Finance 45:1363-88.
-
(1990)
Journal of Finance
, vol.45
, pp. 1363-1388
-
-
Seyhun, N.1
-
53
-
-
0001783260
-
On the Estimation of Beta-Pricing Models
-
Shanken, J. 1992. On the Estimation of Beta-Pricing Models. The Review of Financial Studies 5:1-33.
-
(1992)
The Review of Financial Studies
, vol.5
, pp. 1-33
-
-
Shanken, J.1
-
55
-
-
0037402750
-
Firm-level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns
-
Stivers, C. 2003. Firm-level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns. Journal of Financial Markets 6:389-411.
-
(2003)
Journal of Financial Markets
, vol.6
, pp. 389-411
-
-
Stivers, C.1
-
56
-
-
0001760867
-
Trend Function Hypothesis Testing in the Presence of Serial Correlation
-
Vogelsang, T. 1998. Trend Function Hypothesis Testing in the Presence of Serial Correlation. Econometrica 66:123-48.
-
(1998)
Econometrica
, vol.66
, pp. 123-148
-
-
Vogelsang, T.1
-
57
-
-
11344288077
-
Idiosyncratic Risk Does not Matter: A Re-examination of the Relation between Average Returns and Average Volatilities
-
Wei, S., and C. Zhang. 2005. Idiosyncratic Risk Does not Matter: A Re-examination of the Relation between Average Returns and Average Volatilities. Journal of Banking and Finance 29:603-21.
-
(2005)
Journal of Banking and Finance
, vol.29
, pp. 603-621
-
-
Wei, S.1
Zhang, C.2
-
58
-
-
0000095552
-
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
-
White, H. 1980. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 48:817-38.
-
(1980)
Econometrica
, vol.48
, pp. 817-838
-
-
White, H.1
|