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Housing Collateral, Consumption Insurance and Risk Premia
16 references·12 citing·39 second hop
Housing Collateral, Consumption Insurance and Risk Premia (2002)Housing Collateral, Consumption Insurance…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Understanding Risk and Return (1993)Understanding Risk and ReturnDebt-Constrained Asset Markets (1993)Debt-Constrained Asset MarketsOn the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Dividend yields and expected stock returns (1988)Dividend yields and expected …Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…Inflation and the Price of Real Assets (2020)Inflation and the Price of Re…End-of-the-year economic growth and time-varying expected returns (2014)End-of-the-year economic grow…Composition of wealth, conditioning information, and the cross-section of stock returns (2013)Composition of wealth, condit…A Multiplier Approach to Understanding the Macro Implications of Household Finance (2011)A Multiplier Approach to Unde…A hierarchical factor analysis of U.S. housing market dynamics (2011)A hierarchical factor analysi…Evaluating asset pricing models using the second Hansen-Jagannathan distance (2010)Evaluating asset pricing mode…Asset Pricing with Durable Goods and Nonhomothetic Preferences (2010)Asset Pricing with Durable Go…Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns (2008)Habit Formation, Incomplete M…Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion (2008)Expected Returns and the Busi…Housing, Consumption, and Credit Constraints (2004)Housing, Consumption, and Cre…Consumption Commitments and Asset Prices (2004)Consumption Commitments and A…A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence (2004)A Model of Housing in the Pre…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Specification Tests in Econometrics (1978)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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 General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)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)On Persistence in Mutual Fund Performance (1997)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)Time to Build and Aggregate Fluctuations (1982)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Dividend yields and expected stock returns3,574 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
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 2006Stock Return Predictability: Is it There?

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1,295 cited
  • 1993Debt-Constrained Asset Markets911 cited
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    • 2004Housing, Consumption, and Credit Constraints109 cited
    • 2020Inflation and the Price of Real Assets101 cited
    • 2011A Multiplier Approach to Understanding the Macro Implications of Household Finance96 cited
    • 2004A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence95 cited
    • 2011A hierarchical factor analysis of U.S. housing market dynamics84 cited
    • 2014End-of-the-year economic growth and time-varying expected returns55 cited
    • 2008Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns49 cited
    • 2010Evaluating asset pricing models using the second Hansen-Jagannathan distance45 cited
    • 2010Asset Pricing with Durable Goods and Nonhomothetic Preferences39 cited
    • 2013Composition of wealth, conditioning information, and the cross-section of stock returns37 cited
    • 2004Consumption Commitments and Asset Prices30 cited
    • 2008Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion25 cited