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Consumption Risk and Cross-Sectional Returns
16 references·0 citing·37 second hopsampled
Consumption Risk and Cross-Sectional Returns (2003)Consumption Risk and Cross-Sectional Retu…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Implications of rational inattention (2003)Implications of rational inat…Consumption Over the Life Cycle (2002)Consumption Over the Life Cyc…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Understanding Risk and Return (1993)Understanding Risk and ReturnReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Consumption and Liquidity Constraints: An Empirical Investigation (1989)Consumption and Liquidity Con…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Some International Evidence on Output-Inflation Tradeoffs. (1973)Golden Eggs and Hyperbolic Discounting (1997)Learning and Expectations in Macroeconomics (2001)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)A Theory of the Consumption Function (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Econometric policy evaluation: A critique (1976)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)PORTFOLIO SELECTION* (1952)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2003Implications of rational inattention3,869 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
  • 2002Consumption Over the Life Cycle

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  • 1993Understanding Risk and Return1,797 cited
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