-
1
-
-
0039505965
-
Nonparametric estimation of state-price densities implicit in financial asset markets
-
Ait-Sahalia, Y., and A.W. Lo. 1998. Nonparametric estimation of state-price densities implicit in financial asset markets. Journal of Finance 53:499-547.
-
(1998)
Journal of Finance
, vol.53
, pp. 499-547
-
-
Ait-Sahalia, Y.1
Lo, A.W.2
-
3
-
-
77955645818
-
Stock return predictability: Is it there?
-
Ang, A., and G. Bekaert. 2007. Stock return predictability: Is it there? Review of Financial Studies 20:651-707.
-
(2007)
Review of Financial Studies
, vol.20
, pp. 651-707
-
-
Ang, A.1
Bekaert, G.2
-
4
-
-
0346906789
-
Estimating and testing linear models with multiple structural changes
-
Bai, J., and P. Perron. 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66:47-78.
-
(1998)
Econometrica
, vol.66
, pp. 47-78
-
-
Bai, J.1
Perron, P.2
-
5
-
-
4344674622
-
Risks for the long run:Apotential resolution of asset pricing puzzles
-
Bansal, R., and A. Yaron. 2004. Risks for the long run:Apotential resolution of asset pricing puzzles. Journal of Finance 59:1481-1509.
-
(2004)
Journal of Finance
, vol.59
, pp. 1481-1509
-
-
Bansal, R.1
Yaron, A.2
-
6
-
-
85007620404
-
The VIX, the variance premium and stock market volatility
-
Columbia Business School
-
Bekaert, G., and M. Hoerova. 2013. The VIX, the variance premium and stock market volatility. Working Paper, Columbia Business School.
-
(2013)
Working Paper
-
-
Bekaert, G.1
Hoerova, M.2
-
9
-
-
77955140287
-
Predictive regressions: A present-value approach
-
Binsbergen, J. H. van, and R. S. J. Koijen. 2010. Predictive regressions: A present-value approach. Journal of Finance 65:1439-71.
-
(2010)
Journal of Finance
, vol.65
, pp. 1439-1471
-
-
Van, B.J.H.1
Koijen, R.S.J.2
-
10
-
-
84892683999
-
Leverage and the limits of arbitrage pricing: Implications for dividend strips and the term structure of equity risk premia
-
Arizona State University
-
Boguth, O., M. Carlson, A. Fisher, and M. Simutin. 2012. Leverage and the limits of arbitrage pricing: Implications for dividend strips and the term structure of equity risk premia. Working Paper, Arizona State University.
-
(2012)
Working Paper
-
-
Boguth, O.1
Carlson, M.2
Fisher, A.3
Simutin, M.4
-
13
-
-
0032771542
-
By force of habit: A consumption-based explanation of stock market behavior
-
Campbell, J. Y., and J. H. Cochrane. 1999. By force of habit: A consumption-based explanation of stock market behavior. Journal of Political Economy 107:205-51.
-
(1999)
Journal of Political Economy
, vol.107
, pp. 205-251
-
-
Campbell, J.Y.1
Cochrane, J.H.2
-
14
-
-
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 1:195-227.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 195-227
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
15
-
-
49449084242
-
Predicting excess stock returns out of sample: Can anything beat the historical average?
-
Campbell, J. Y., and S. B. Thompson. 2008. Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies 21:1509-31.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1509-1531
-
-
Campbell, J.Y.1
Thompson, S.B.2
-
16
-
-
62749162571
-
On the reversal of return and dividend growth predictability: A tale of two periods
-
Chen, L. 2009. On the reversal of return and dividend growth predictability: A tale of two periods. Journal of Financial Economics 92:128-51.
-
(2009)
Journal of Financial Economics
, vol.92
, pp. 128-151
-
-
Chen, L.1
-
17
-
-
49449103299
-
The dog that did not bark:Adefense of return predictability
-
Cochrane, J. H. 2008a. The dog that did not bark:Adefense of return predictability. Review of Financial Studies 21:1533-75.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1533-1575
-
-
Cochrane, J.H.1
-
18
-
-
77955169116
-
State-space vs. VAR models for stock returns
-
University of Chicago
-
-. 2008b. State-space vs. VAR models for stock returns. Working Paper, University of Chicago.
-
(2008)
Working Paper
-
-
Cochrane, J.H.1
-
19
-
-
79960550629
-
Presidential address: Discount rates
-
-. 2011. Presidential address: Discount rates. Journal of Finance 66:1047-1108.
-
(2011)
Journal of Finance
, vol.66
, pp. 1047-1108
-
-
Cochrane, J.H.1
-
22
-
-
49449095257
-
Acomprehensive look at the empirical performance of equity premium prediction
-
Goyal, A., and I. Welch. 2008. Acomprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies 21:1455-1508.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1455-1508
-
-
Goyal, A.1
Welch, I.2
-
23
-
-
0000714094
-
Forward exchange rates as optimal predictors of future spot rates: An econometric analysis
-
Hansen, L. P., and R. J. Hodrick. 1980. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy 88:829-53.
-
(1980)
Journal of Political Economy
, vol.88
, pp. 829-853
-
-
Hansen, L.P.1
Hodrick, R.J.2
-
24
-
-
0000789996
-
Dividend yields and expected stock returns: Alternative procedures for inference and measurement
-
Hodrick, R. J. 1992. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Review of Financial Studies 5:357-86.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 357-386
-
-
Hodrick, R.J.1
-
25
-
-
27544452915
-
The model-free implied volatility and its information content
-
Jiang, G. J., and Y. S. Tian. 2005. The model-free implied volatility and its information content. Review of Financial Studies 18:1305-42.
-
(2005)
Review of Financial Studies
, vol.18
, pp. 1305-1342
-
-
Jiang, G.J.1
Tian, Y.S.2
-
27
-
-
0031475554
-
Measuring the predictable variation in stock and bond returns
-
Kirby, C. 1997. Measuring the predictable variation in stock and bond returns. Review of Financial Studies 10:579-630.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 579-630
-
-
Kirby, C.1
-
29
-
-
38249015101
-
Stock return variation and expected dividends: A time-series and crosssectional analysis
-
Kothari, S. P., and J. Shanken. 1992. Stock return variation and expected dividends: A time-series and crosssectional analysis. Journal of Financial Economics 31:177-210.
-
(1992)
Journal of Financial Economics
, vol.31
, pp. 177-210
-
-
Kothari, S.P.1
Shanken, J.2
-
30
-
-
84867558349
-
Forecasting dividend growth to better predict returns
-
University of Chicago
-
Lacerda, F., and P. Santa-Clara. 2010. Forecasting dividend growth to better predict returns. Working Paper, University of Chicago.
-
(2010)
Working Paper
-
-
Lacerda, F.1
Santa-Clara, P.2
-
31
-
-
0012462939
-
Consumption, aggregate wealth, and expected stock returns
-
Lettau, M., and S. Ludvigson. 2001. Consumption, aggregate wealth, and expected stock returns. Journal of Finance 56:815-49.
-
(2001)
Journal of Finance
, vol.56
, pp. 815-849
-
-
Lettau, M.1
Ludvigson, S.2
-
34
-
-
34547650757
-
Asymptotics for out of sample tests of Granger causality
-
McCraken, M. W. 2007. Asymptotics for out of sample tests of Granger causality. Journal of Econometrics 140:719-52.
-
(2007)
Journal of Econometrics
, vol.140
, pp. 719-752
-
-
McCraken, M.W.1
-
36
-
-
79952584619
-
Implied interest rates in a market with frictions
-
New York University
-
Naranjo, L. 2009. Implied interest rates in a market with frictions. Working Paper, New York University.
-
(2009)
Working Paper
-
-
Naranjo, L.1
-
37
-
-
0000706085
-
A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West. 1987. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica A 55:703-8.
-
(1987)
Econometrica A
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
38
-
-
33747871993
-
The information in option volume for future stock prices
-
Pan, J., and A. M. Poteshman. 2006. The information in option volume for future stock prices. Review of Financial Studies 19:871-908.
-
(2006)
Review of Financial Studies
, vol.19
, pp. 871-908
-
-
Pan, J.1
Poteshman, A.M.2
-
39
-
-
84897682697
-
Predictable risks and predictive regression in present-value models
-
University of Lugano
-
Piatti, I., and F. Trojani. 2012. Predictable risks and predictive regression in present-value models. Working Paper, University of Lugano.
-
(2012)
Working Paper
-
-
Piatti, I.1
Trojani, F.2
-
40
-
-
84923068814
-
Filtering out expected dividends and expected returns
-
Rytchkov, O. 2012. Filtering out expected dividends and expected returns. Quarterly Journal of Finance 2:1250012(1-56).
-
(2012)
Quarterly Journal of Finance
, vol.2
, pp. 1-56
-
-
Rytchkov, O.1
-
41
-
-
49449094282
-
Forecasting the equity premium: Where we stand today
-
Spiegel, M. 2008. Forecasting the equity premium: Where we stand today. Review of Financial Studies 21:1453-54.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1453-1454
-
-
Spiegel, M.1
-
43
-
-
0037404245
-
Long-horizon regressions: Theoretical results and applications
-
Valkanov, R. 2003. Long-horizon regressions: Theoretical results and applications. Journal of Financial Economics 68:201-32.
-
(2003)
Journal of Financial Economics
, vol.68
, pp. 201-232
-
-
Valkanov, R.1
|