메뉴 건너뛰기




Volumn 74, Issue 3, 2004, Pages 401-421

Corporate earnings and the equity premium

Author keywords

Corporate earnings; Equity premium

Indexed keywords


EID: 7744231462     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2003.12.001     Document Type: Article
Times cited : (108)

References (68)
  • 1
    • 0003007882 scopus 로고
    • Asset prices under habit formation and catching up with the Joneses
    • Abel A. Asset prices under habit formation and catching up with the Joneses American Economic Review 80 1990 38-42
    • (1990) American Economic Review , vol.80 , pp. 38-42
    • Abel, A.1
  • 2
    • 0001918323 scopus 로고    scopus 로고
    • Risk premia and term premia in general equilibrium
    • Abel A. Risk premia and term premia in general equilibrium Journal of Monetary Economics 43 1999 3-33
    • (1999) Journal of Monetary Economics , vol.43 , pp. 3-33
    • Abel, A.1
  • 3
    • 0042151829 scopus 로고    scopus 로고
    • Payout policy
    • Working Paper, Wharton School, University of Pennsylvania
    • Allen F. Michaely R. Payout policy 2002 Working Paper, Wharton School, University of Pennsylvania
    • (2002)
    • Allen, F.1    Michaely, R.2
  • 4
    • 0041152114 scopus 로고    scopus 로고
    • A theory of dividends based on tax clienteles
    • Allen F. Bernardo A. Welch I. A theory of dividends based on tax clienteles Journal of Finance 55 2000 2499-2536
    • (2000) Journal of Finance , vol.55 , pp. 2499-2536
    • Allen, F.1    Bernardo, A.2    Welch, I.3
  • 5
  • 6
    • 0030534914 scopus 로고    scopus 로고
    • Inflation, asset prices, and the term structure of interest rates in monetary economies
    • Bakshi G. Chen Z. Inflation, asset prices, and the term structure of interest rates in monetary economies Review of Financial Studies 9 1996 237-271
    • (1996) Review of Financial Studies , vol.9 , pp. 237-271
    • Bakshi, G.1    Chen, Z.2
  • 7
    • 0031115958 scopus 로고    scopus 로고
    • An alternative valuation model for contingent claims
    • Bakshi G. Chen Z. An alternative valuation model for contingent claims Journal of Financial Economics 44 1997 123-165
    • (1997) Journal of Financial Economics , vol.44 , pp. 123-165
    • Bakshi, G.1    Chen, Z.2
  • 8
    • 0347432706 scopus 로고    scopus 로고
    • Stock valuation in dynamic economies
    • Working Paper, University of Maryland
    • Bakshi G. Chen Z. Stock valuation in dynamic economies 2001 Working Paper, University of Maryland
    • (2001)
    • Bakshi, G.1    Chen, Z.2
  • 9
    • 0039739798 scopus 로고    scopus 로고
    • Mental accounting, loss aversion and individual stock returns
    • Barberis N. Huang M. Mental accounting, loss aversion and individual stock returns Journal of Finance 56 2001 1247-1292
    • (2001) Journal of Finance , vol.56 , pp. 1247-1292
    • Barberis, N.1    Huang, M.2
  • 10
    • 0041844053 scopus 로고    scopus 로고
    • Stock and bond pricing in an affine economy
    • Working Paper 7346, NBER, September
    • Bekaert, G., Grenadier, S., 1999. Stock and bond pricing in an affine economy. Working Paper 7346, NBER, September.
    • (1999)
    • Bekaert, G.1    Grenadier, S.2
  • 11
    • 0000118836 scopus 로고
    • Imperfect information, dividend policy and "the bird in the hand" fallacy
    • Bhattacharya S. Imperfect information, dividend policy and "the bird in the hand" fallacy Bell Journal of Economics 10 1979 259-270
    • (1979) Bell Journal of Economics , vol.10 , pp. 259-270
    • Bhattacharya, S.1
  • 12
    • 0009713512 scopus 로고
    • An intertemporal asset pricing model with stochastic consumption and investment opportunities
    • Breeden D. An intertemporal asset pricing model with stochastic consumption and investment opportunities Journal of Financial Economics 7 1979 265-296
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.1
  • 13
    • 0001362606 scopus 로고    scopus 로고
    • Stock price volatility, learning and the equity premium
    • Brennan M. Xia J. Stock price volatility, learning and the equity premium Journal of Monetary Economics 47 2001 249-283
    • (2001) Journal of Monetary Economics , vol.47 , pp. 249-283
    • Brennan, M.1    Xia, J.2
  • 15
    • 0000425669 scopus 로고
    • Bond and stock returns in a simple exchange model
    • Campbell J. Bond and stock returns in a simple exchange model Quarterly Journal of Economics 101 1986 785-804
    • (1986) Quarterly Journal of Economics , vol.101 , pp. 785-804
    • Campbell, J.1
  • 16
    • 77956771554 scopus 로고    scopus 로고
    • Asset prices, consumption and the business cycle
    • Taylor, J., Woodford, M. (Eds.), Elsevier, Holland
    • Campbell, J., 1999. Asset prices, consumption and the business cycle. In: Taylor, J., Woodford, M. (Eds.), Handbook of Macroeconomics, Vol. 1c. Elsevier, Holland, pp. 1231-1303.
    • (1999) Handbook of Macroeconomics , vol.1 c , pp. 1231-1303
    • Campbell, J.1
  • 17
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: A consumption-based explanation of aggregate stock market behavior
    • Campbell J. Cochrane J. By force of habit: A consumption-based explanation of aggregate stock market behavior Journal of Political Economy 107 1999 205-251
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.1    Cochrane, J.2
  • 18
    • 38249005063 scopus 로고
    • The equity premium and the risk-free rate: Matching the moments
    • Cecchetti S. Lam P. Mark N. The equity premium and the risk-free rate: Matching the moments Journal of Monetary Economics 31 1993 21-46
    • (1993) Journal of Monetary Economics , vol.31 , pp. 21-46
    • Cecchetti, S.1    Lam, P.2    Mark, N.3
  • 19
    • 0036997692 scopus 로고    scopus 로고
    • Catching up with the Joneses: Heterogeneous preferences and the dynamics of asset prices
    • Chan Y. Kogan L. Catching up with the Joneses: Heterogeneous preferences and the dynamics of asset prices Journal of Political Economy 110 2002 1255-1285
    • (2002) Journal of Political Economy , vol.110 , pp. 1255-1285
    • Chan, Y.1    Kogan, L.2
  • 20
    • 0001265486 scopus 로고    scopus 로고
    • Habit formation and aggregate consumption
    • Chapman D. Habit formation and aggregate consumption Econometrica 66 1998 1223-1230
    • (1998) Econometrica , vol.66 , pp. 1223-1230
    • Chapman, D.1
  • 21
    • 0036077604 scopus 로고    scopus 로고
    • Ambiguity, risk and asset returns in continuous time
    • Chen Z. Epstein L. Ambiguity, risk and asset returns in continuous time Econometrica 70 2002 1403-1443
    • (2002) Econometrica , vol.70 , pp. 1403-1443
    • Chen, Z.1    Epstein, L.2
  • 22
    • 21344494250 scopus 로고
    • Repurchase premia as a reason for dividends: A dynamic model of corporate payout policies
    • Chowdhry B. Nanda V. Repurchase premia as a reason for dividends: a dynamic model of corporate payout policies Review of Financial Studies 7 1994 321-350
    • (1994) Review of Financial Studies , vol.7 , pp. 321-350
    • Chowdhry, B.1    Nanda, V.2
  • 23
    • 0002894909 scopus 로고    scopus 로고
    • Where is the market going? Uncertain facts and novel theories
    • Cochrane J. Where is the market going? uncertain facts and novel theories Economic Perspectives 21 1997 3-37
    • (1997) Economic Perspectives , vol.21 , pp. 3-37
    • Cochrane, J.1
  • 24
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press, Princeton, NJ
    • Cochrane J. Asset Pricing 2001 Princeton University Press, Princeton, NJ
    • (2001) Asset Pricing
    • Cochrane, J.1
  • 25
    • 84935322716 scopus 로고
    • Habit formation: A resolution of the equity premium puzzle
    • Constantinides G. Habit formation: A resolution of the equity premium puzzle Journal of Political Economy 98 1990 519-543
    • (1990) Journal of Political Economy , vol.98 , pp. 519-543
    • Constantinides, G.1
  • 28
    • 0001370320 scopus 로고
    • Asset prices in an exchange economy with habit formation
    • Detemple J. Zapatero F. Asset prices in an exchange economy with habit formation Econometrica 59 1991 1633-1658
    • (1991) Econometrica , vol.59 , pp. 1633-1658
    • Detemple, J.1    Zapatero, F.2
  • 29
    • 0001668150 scopus 로고    scopus 로고
    • Transform analysis and asset pricing for affine jump-diffusions
    • Duffie D. Pan J. Singleton K. Transform analysis and asset pricing for affine jump-diffusions Econometrica 68 2000 1343-1376
    • (2000) Econometrica , vol.68 , pp. 1343-1376
    • Duffie, D.1    Pan, J.2    Singleton, K.3
  • 30
    • 84959823198 scopus 로고
    • A time series analysis of representative consumer models of consumption and leisure choice under uncertainty
    • Eichenbaum M. Hansen L. Singleton K. A time series analysis of representative consumer models of consumption and leisure choice under uncertainty Quarterly Journal of Economics 103 1988 51-78
    • (1988) Quarterly Journal of Economics , vol.103 , pp. 51-78
    • Eichenbaum, M.1    Hansen, L.2    Singleton, K.3
  • 31
    • 84935429666 scopus 로고
    • Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis
    • Epstein L. Zin S. Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis Journal of Political Economy 99 1991 263-286
    • (1991) Journal of Political Economy , vol.99 , pp. 263-286
    • Epstein, L.1    Zin, S.2
  • 33
    • 0003164748 scopus 로고    scopus 로고
    • Disappearing dividends: Changing firm characteristics or increased reluctance to pay?
    • Fama E. French K. Disappearing dividends: Changing firm characteristics or increased reluctance to pay? Journal of Financial Economics 60 2001 3-43
    • (2001) Journal of Financial Economics , vol.60 , pp. 3-43
    • Fama, E.1    French, K.2
  • 34
    • 0000853427 scopus 로고
    • Habit persistence and durability in aggregate consumption: Empirical tests
    • Ferson W. Constantinides F. Habit persistence and durability in aggregate consumption: Empirical tests Journal of Financial Economics 29 1991 199-240
    • (1991) Journal of Financial Economics , vol.29 , pp. 199-240
    • Ferson, W.1    Constantinides, F.2
  • 36
    • 0000155749 scopus 로고
    • Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence
    • Hall R. Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence Journal of Political Economy 86 1978 971-987
    • (1978) Journal of Political Economy , vol.86 , pp. 971-987
    • Hall, R.1
  • 37
    • 0001586150 scopus 로고    scopus 로고
    • The stock market and capital accumulation
    • Hall R. The stock market and capital accumulation American Economic Review 91 2001 1185-1202
    • (2001) American Economic Review , vol.91 , pp. 1185-1202
    • Hall, R.1
  • 39
    • 0000900299 scopus 로고
    • An empirical investigation of asset pricing with temporally dependent preference specifications
    • Heaton J. An empirical investigation of asset pricing with temporally dependent preference specifications Econometrica 63 1995 681-718
    • (1995) Econometrica , vol.63 , pp. 681-718
    • Heaton, J.1
  • 40
    • 0000092786 scopus 로고
    • The Penn World Table (Mark 5): An expanded set of international comparisons, 1950-1988
    • Heston A. Summers R. The Penn World Table (Mark 5): An expanded set of international comparisons, 1950-1988 Quarterly Journal of Economics 106 1991 327-368
    • (1991) Quarterly Journal of Economics , vol.106 , pp. 327-368
    • Heston, A.1    Summers, R.2
  • 41
    • 0009437270 scopus 로고    scopus 로고
    • Global stock markets in the twentieth century
    • Jorion P. Goetzman W. Global stock markets in the twentieth century Journal of Finance 54 1999 953-980
    • (1999) Journal of Finance , vol.54 , pp. 953-980
    • Jorion, P.1    Goetzman, W.2
  • 44
    • 0002764773 scopus 로고    scopus 로고
    • Can habit formation be reconciled with business cycle facts?
    • Lettau M. Uhlig J. Can habit formation be reconciled with business cycle facts? Review of Economic Dynamics 3 2000 79-99
    • (2000) Review of Economic Dynamics , vol.3 , pp. 79-99
    • Lettau, M.1    Uhlig, J.2
  • 45
    • 0010122281 scopus 로고    scopus 로고
    • Share repurchases and employee stock options and their implications for S&P 500 share retirements and expected returns
    • Working Paper, Federal Reserve Board
    • Liang J. Sharpe S. Share repurchases and employee stock options and their implications for S&P 500 share retirements and expected returns 1999 Working Paper, Federal Reserve Board
    • (1999)
    • Liang, J.1    Sharpe, S.2
  • 46
    • 0002744905 scopus 로고
    • Distribution of incomes of corporations among dividends, retained earnings and taxes
    • Lintner J. Distribution of incomes of corporations among dividends, retained earnings and taxes American Economic Review 46 1956 97-113
    • (1956) American Economic Review , vol.46 , pp. 97-113
    • Lintner, J.1
  • 47
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas R. Asset prices in an exchange economy Econometrica 46 1978 1429-1445
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.1
  • 48
    • 38549128465 scopus 로고    scopus 로고
    • A model for pricing stocks and bonds
    • Working Paper, Yale University
    • Mamaysky H. A model for pricing stocks and bonds 2002 Working Paper, Yale University
    • (2002)
    • Mamaysky, H.1
  • 49
    • 0002772595 scopus 로고
    • Dividend behavior for the aggregate stock market
    • Marsh T. Merton R. Dividend behavior for the aggregate stock market Journal of Business 60 1987 1-40
    • (1987) Journal of Business , vol.60 , pp. 1-40
    • Marsh, T.1    Merton, R.2
  • 50
    • 0011831881 scopus 로고    scopus 로고
    • Taxes, regulations and asset prices
    • Working Paper 8623, NBER, December
    • McGrattan, E., Prescott, E., 2001. Taxes, regulations and asset prices. Working Paper 8623, NBER, December.
    • (2001)
    • McGrattan, E.1    Prescott, E.2
  • 51
    • 20444455305 scopus 로고    scopus 로고
    • The equity premium: Why is it a puzzle?
    • Mehra R. The equity premium: Why is it a puzzle? Financial Analysts Journal 59 2002 54-69
    • (2002) Financial Analysts Journal , vol.59 , pp. 54-69
    • Mehra, R.1
  • 54
    • 4243483273 scopus 로고    scopus 로고
    • Habit formation and the cross section of stock returns
    • Working Paper, The University of Chicago
    • Menzly L. Santos T. Veronesi P. Habit formation and the cross section of stock returns 2002 Working Paper, The University of Chicago
    • (2002)
    • Menzly, L.1    Santos, T.2    Veronesi, P.3
  • 55
    • 7744219689 scopus 로고    scopus 로고
    • The time series of the cross section of asset prices
    • Working Paper, The University of Chicago
    • Menzly L. Santos T. Veronesi P. The time series of the cross section of asset prices 2003 Working Paper, The University of Chicago
    • (2003)
    • Menzly, L.1    Santos, T.2    Veronesi, P.3
  • 56
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous time model
    • Merton R. Optimum consumption and portfolio rules in a continuous time model Journal of Economic Theory 3 1971 373-413
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 57
    • 84939429904 scopus 로고
    • Dividend policy under asymmetric information
    • Miller M. Rock K. Dividend policy under asymmetric information Journal of Finance 40 1985 103-151
    • (1985) Journal of Finance , vol.40 , pp. 103-151
    • Miller, M.1    Rock, K.2
  • 58
    • 0000472402 scopus 로고
    • General equilibrium pricing of options on the market portfolio with discontinuous returns
    • Naik V. Lee M. General equilibrium pricing of options on the market portfolio with discontinuous returns Review of Financial Studies 3 1990 493-521
    • (1990) Review of Financial Studies , vol.3 , pp. 493-521
    • Naik, V.1    Lee, M.2
  • 59
    • 84984268939 scopus 로고
    • A synthesis of security valuation theory and the role of dividends, cash flows, and earnings
    • Ohlson J. A synthesis of security valuation theory and the role of dividends, cash flows, and earnings Journal of Contemporary Accounting Research 6 1990 648-676
    • (1990) Journal of Contemporary Accounting Research , vol.6 , pp. 648-676
    • Ohlson, J.1
  • 60
    • 84984180909 scopus 로고
    • Earnings, book values, and dividends in equity valuation
    • Ohlson J. Earnings, book values, and dividends in equity valuation Journal of Contemporary Accounting Research 11 1995 661-687
    • (1995) Journal of Contemporary Accounting Research , vol.11 , pp. 661-687
    • Ohlson, J.1
  • 61
    • 0142250349 scopus 로고    scopus 로고
    • Stock valuation and learning about predictability
    • Pastor L. Veronesi P. Stock valuation and learning about predictability Journal of Finance 58 2003 1749-1789
    • (2003) Journal of Finance , vol.58 , pp. 1749-1789
    • Pastor, L.1    Veronesi, P.2
  • 62
    • 45549121696 scopus 로고
    • The equity premium puzzle: A solution?
    • Rietz T. The equity premium puzzle: A solution? Journal of Monetary Economics 21 1988 117-132
    • (1988) Journal of Monetary Economics , vol.21 , pp. 117-132
    • Rietz, T.1
  • 63
    • 1842841311 scopus 로고    scopus 로고
    • Labor income and predictable stock returns
    • Working Paper 8309, NBER, May
    • Santos, T., Veronesi, P., 2001. Labor income and predictable stock returns. Working Paper 8309, NBER, May.
    • (2001)
    • Santos, T.1    Veronesi, P.2
  • 65
    • 0002387168 scopus 로고
    • Intertemporal dependent preferences and the volatility of consumption and wealth
    • Sundaresan S. Intertemporal dependent preferences and the volatility of consumption and wealth Review of Financial Studies 2 1989 73-88
    • (1989) Review of Financial Studies , vol.2 , pp. 73-88
    • Sundaresan, S.1
  • 66
    • 0041488892 scopus 로고    scopus 로고
    • What drives firm-level stock returns?
    • Vuolteenaho T. What drives firm-level stock returns? Journal of Finance 57 2002 233-264
    • (2002) Journal of Finance , vol.57 , pp. 233-264
    • Vuolteenaho, T.1
  • 67
    • 33846487184 scopus 로고    scopus 로고
    • A consumption-based model of the term structure of interest rates
    • Working Paper, New York University
    • Wachter J. A consumption-based model of the term structure of interest rates 2003 Working Paper, New York University
    • (2003)
    • Wachter, J.1
  • 68
    • 38249004563 scopus 로고
    • The equity premium puzzle and the risk-free rate puzzle
    • Weil P. The equity premium puzzle and the risk-free rate puzzle Journal of Monetary Economics 24 1989 401-421
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-421
    • Weil, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.