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Long-Run Risks and Financial Markets
16 references·3 citing·33 second hop
Long-Run Risks and Financial Markets (2007)Long-Run Risks and Financial MarketsStock Return Predictability: Is it There? (2006)Stock Return Predictability: …Solving Linear Rational Expectations Models (2002)Solving Linear Rational Expec…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …The equity premium: A puzzle (1985)The equity premium: A puzzleForward and spot exchange rates (1984)Forward and spot exchange rat…Intertemporal Substitution in Consumption (1981)Intertemporal Substitution in…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Consumption–investment optimization with Epstein–Zin utility in incomplete markets (2016)Consumption–investment optimi…Comparing consumption-based asset pricing models: The case of an Asian city (2014)Comparing consumption-based a…Macroeconometric Equivalence, Microeconomic Dissonance, and the Design of Monetary Policy (2008)Macroeconometric Equivalence,…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 2002Solving Linear Rational Expectations Models1,104 cited

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1990
Implications of Security Market Data for Models of Dynamic Economies
1,088 cited

Cited by

  • 2016Consumption–investment optimization with Epstein–Zin utility in incomplete markets47 cited
  • 2014Comparing consumption-based asset pricing models: The case of an Asian city44 cited
  • 2008Macroeconometric Equivalence, Microeconomic Dissonance, and the Design of Monetary Policy14 cited