-
1
-
-
0036353532
-
International Assocation with Regime Shifts
-
Ang, A. and G. Bekaert, 2002a, "International Asset Allocation with Regime Shifts, " Review of Financial Studies 15, 1137-1187.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1137-1187
-
-
Ang, A.1
Bekaert, G.2
-
3
-
-
70350155726
-
The Conditional Beta and the Cross-Section of Expected Returns
-
Bali, T.G., N. Cakici, and Y. Tang, 2009, "The Conditional Beta and the Cross-Section of Expected Returns, " Financial Management 38, 103-137.
-
(2009)
Financial Management
, vol.38
, pp. 103-137
-
-
Bali, T.G.1
Cakici, N.2
Tang, Y.3
-
4
-
-
84993905064
-
Time-Varying World Market Integration
-
Bekaert, G. and C.R. Harvey, 1995, "Time-Varying World Market Integration, " Journal of Finance 50, 403-444.
-
(1995)
Journal of Finance
, vol.50
, pp. 403-444
-
-
Bekaert, G.1
Harvey, C.R.2
-
5
-
-
0007980113
-
Optimal Investment, Growth Options, and Security Returns
-
Berk, J.B., R.C. Green, and V. Naik, 1999, "Optimal Investment, Growth Options, and Security Returns, " Journal of Finance 54, 1553-1607.
-
(1999)
Journal of Finance
, vol.54
, pp. 1553-1607
-
-
Berk, J.B.1
Green, R.C.2
Naik, V.3
-
6
-
-
0001959632
-
On the Predictive Power of Interest Rates and Interest Rate Spreads
-
Bernanke, B.S., 1990, "On the Predictive Power of Interest Rates and Interest Rate Spreads, " New England Economic Review 51-68.
-
(1990)
New England Economic Review
, pp. 51-68
-
-
Bernanke, B.S.1
-
7
-
-
84977364496
-
Agency Costs, Net Worth, and Business Fluctuations
-
Bernanke, B.S. and M. Gertler, 1989, "Agency Costs, Net Worth, and Business Fluctuations, " American Economic Review 79, 14-31.
-
(1989)
American Economic Review
, vol.79
, pp. 14-31
-
-
Bernanke, B.S.1
Gertler, M.2
-
8
-
-
0344839169
-
Stock Returns and the Term Structure
-
Campbell, J.Y., 1987, "Stock Returns and the Term Structure, " Journal of Financial Economics 18, 373-399.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-399
-
-
Campbell, J.Y.1
-
9
-
-
0002519023
-
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
-
Campbell, J.Y., M. Lettau, B.G. 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.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
10
-
-
0000007521
-
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
-
Campbell, J.Y. and R. J. Shiller, 1988, "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, " Review of Financial Studies 1, 195-228.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 195-228
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
11
-
-
4344650584
-
Corporate Investment and Asset Price Dynamics: Implications for the Cross Section of Return
-
Carlson, M.A., Fisher, and R. Giammarion, 2004, "Corporate Investment and Asset Price Dynamics: Implications for the Cross Section of Return, " Journal of Finance 59, 2557-2603.
-
(2004)
Journal of Finance
, vol.59
, pp. 2557-2603
-
-
Carlson, M.A.1
Fisher2
Giammarion, R.3
-
12
-
-
38349025501
-
The Expected Value Premium
-
Chen, L., R. Petkova, and L. Zhang, 2008, "The Expected Value Premium, " Journal of Financial Economics 87, 269-280.
-
(2008)
Journal of Financial Economics
, vol.87
, pp. 269-280
-
-
Chen, L.1
Petkova, R.2
Zhang, L.3
-
13
-
-
84977708733
-
Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations
-
Cochrane, J.H., 1991, "Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations, " Journal of Finance 46, 209-237.
-
(1991)
Journal of Finance
, vol.46
, pp. 209-237
-
-
Cochrane, J.H.1
-
14
-
-
0142188080
-
The Value Spread
-
Cohen, R.B., C. Polk, and T. Vuolteenaho, 2003, "The Value Spread, " Journal of Finance 58, 609-641.
-
(2003)
Journal of Finance
, vol.58
, pp. 609-641
-
-
Cohen, R.B.1
Polk, C.2
Vuolteenaho, T.3
-
15
-
-
33749009107
-
Stock Returns, Real Activity, Inflation, and Money
-
Fama, E.F., 1981, "Stock Returns, Real Activity, Inflation, and Money, " American Economic Review 71, 545-565.
-
(1981)
American Economic Review
, vol.71
, pp. 545-565
-
-
Fama, E.F.1
-
16
-
-
34250890715
-
Business Conditions and Expected Returns on Stocks and Bonds
-
Fama, E.F. and K.R. 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.F.1
French, K.R.2
-
18
-
-
0009888594
-
Conditioning Variables and the Cross Section of Stock Returns
-
Ferson, W.E. and C.R. Harvey, 1999, "Conditioning Variables and the Cross Section of Stock Returns, " Journal of Finance 54, 1325-1360.
-
(1999)
Journal of Finance
, vol.54
, pp. 1325-1360
-
-
Ferson, W.E.1
Harvey, C.R.2
-
19
-
-
84952252413
-
Business Cycle Phases and Their Transitional Dynamics
-
Filardo, A.J., 1994, "Business Cycle Phases and Their Transitional Dynamics, " Journal of Business and Economic Statistics 12, 299-308.
-
(1994)
Journal of Business and Economic Statistics
, vol.12
, pp. 299-308
-
-
Filardo, A.J.1
-
20
-
-
78649491655
-
Can Operating Leverage Be the Cause of the Value Premium
-
García-Feijóo, L. and R.D. Jorgensen, 2010, "Can Operating Leverage Be the Cause of the Value Premium Financial Management 39, 1127-1153.
-
(2010)
Financial Management
, vol.39
, pp. 1127-1153
-
-
García-Feijóo, L.1
Jorgensen, R.D.2
-
21
-
-
34547433726
-
Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms
-
Gertler, M. and S. Gilchrist, 1994, "Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms, " Quarterly Journal of Economics 109, 309-340.
-
(1994)
Quarterly Journal of Economics
, vol.109
, pp. 309-340
-
-
Gertler, M.1
Gilchrist, S.2
-
22
-
-
0030242133
-
Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process
-
Gray, S.F., 1996, "Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process, " Journal of Financial Economics 42, 27-62.
-
(1996)
Journal of Financial Economics
, vol.42
, pp. 27-62
-
-
Gray, S.F.1
-
23
-
-
33644808061
-
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns
-
Guidolin, M. and A. Timmermann, 2006, "An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns, " Journal of Applied Econometrics 21, 1-22.
-
(2006)
Journal of Applied Econometrics
, vol.21
, pp. 1-22
-
-
Guidolin, M.1
Timmermann, A.2
-
24
-
-
41549128421
-
International Assocation under Regime Switching, Skewness, and Kurtosis
-
Guidolin, M. and A. Timmermann, 2008a, "International Asset Allocation under Regime Switching, Skewness, and Kurtosis, " Review of Financial Studies 21, 889-935.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 889-935
-
-
Guidolin, M.1
Timmermann, A.2
-
26
-
-
0001342006
-
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
-
Hamilton, J.D., 1989, "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, " Econometrica 57, 357-384.
-
(1989)
Econometrica
, vol.57
, pp. 357-384
-
-
Hamilton, J.D.1
-
27
-
-
84986382561
-
The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP
-
Hansen, B.E., 1992, "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP, " Journal of Applied Econometrics 7, S61-S82.
-
(1992)
Journal of Applied Econometrics
, vol.7
-
-
Hansen, B.E.1
-
28
-
-
0010962742
-
The Conditional CAPM and the Cross-Section of Expected Returns
-
Jagannathan, R. and Z. Wang, 1996, "The Conditional CAPM and the Cross-Section of Expected Returns, " Journal of Finance 51, 3-53.
-
(1996)
Journal of Finance
, vol.51
, pp. 3-53
-
-
Jagannathan, R.1
Wang, Z.2
-
31
-
-
84993869066
-
Contrarian Investment, Extrapolation, and Risk
-
Lakonishok, J., A. Shleifer, and R.W. Vishny, 1994, "Contrarian Investment, Extrapolation, and Risk, " Journal of Finance 49, 1541-1578.
-
(1994)
Journal of Finance
, vol.49
, pp. 1541-1578
-
-
Lakonishok, J.1
Shleifer, A.2
Vishny, R.W.3
-
32
-
-
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, 1238-1287.
-
(2001)
Journal of Political Economy
, vol.109
, pp. 1238-1287
-
-
Lettau, M.1
Ludvigson, S.2
-
33
-
-
33749134848
-
The Conditional CAPM Does Not Explain Asset-Pricing Anomalies
-
Lewellen, J. and S. Nagel, 2006, "The Conditional CAPM Does Not Explain Asset-Pricing Anomalies, " Journal of Financial Economics 82, 289-314.
-
(2006)
Journal of Financial Economics
, vol.82
, pp. 289-314
-
-
Lewellen, J.1
Nagel, S.2
-
34
-
-
68249147836
-
Financially Constrained Stock Returns
-
Livdan, D., H. Sapriza, and L. Zhang, 2009, "Financially Constrained Stock Returns, " Journal of Finance 64, 1827-1862.
-
(2009)
Journal of Finance
, vol.64
, pp. 1827-1862
-
-
Livdan, D.1
Sapriza, H.2
Zhang, L.3
-
35
-
-
0013084399
-
Firm Size and Cyclical Variations in Stock Returns
-
Perez-Quiros, G. and A. Timmermann, 2000, "Firm Size and Cyclical Variations in Stock Returns, " Journal of Finance 55, 1229-1262.
-
(2000)
Journal of Finance
, vol.55
, pp. 1229-1262
-
-
Perez-Quiros, G.1
Timmermann, A.2
-
37
-
-
0002215433
-
Book to Market As a Predictor of Market Returns
-
Pontiff, J. and L. Schall, 1999, "Book to Market As a Predictor of Market Returns, " Journal of Financial Economics 49, 141-160.
-
(1999)
Journal of Financial Economics
, vol.49
, pp. 141-160
-
-
Pontiff, J.1
Schall, L.2
-
38
-
-
84977707955
-
Why Does Stock Market Volatility Change over Time
-
Schwert, G.W. 1989, "Why Does Stock Market Volatility Change over Time Journal of Finance 29, 1115-1153.
-
(1989)
Journal of Finance
, vol.29
, pp. 1115-1153
-
-
Schwert, G.W.1
-
39
-
-
0000076932
-
New Indexes of Coincident and Leading Economic Indicators
-
in O.J. Blanchard and S. Fischer, Eds., Cambridge, MA, MIT Press
-
Stock, J. and M.W. Watson, 1989, "New Indexes of Coincident and Leading Economic Indicators, " in O.J. Blanchard and S. Fischer, Eds., NBER Macroeconomic Annual, Cambridge, MA, MIT Press, 351-393.
-
(1989)
NBER Macroeconomic Annual
, pp. 351-393
-
-
Stock, J.1
Watson, M.W.2
-
40
-
-
12344316275
-
The Value Premium
-
Zhang, L., 2005, "The Value Premium, " Journal of Finance 60, 67-103.
-
(2005)
Journal of Finance
, vol.60
, pp. 67-103
-
-
Zhang, L.1
|