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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
16 references·3 citing·40 second hop
Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns (2006)Proprietary Income, Entrepreneurial Risk,…Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Understanding Trend and Cycle…The Cross Section of Expected REIT Returns (2003)The Cross Section of Expected…The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? (2002)The Returns to Entrepreneuria…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Portfolio Choice in the Presence of Background Risk (2000)Portfolio Choice in the Prese…Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice and Asset Pr…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Earnings and Expected Returns (1998)Earnings and Expected ReturnsThe Finance-Growth Nexus: Evidence from Bank Branch Deregulation (1996)The Finance-Growth Nexus: Evi…Asset Pricing with Heterogeneous Consumers (1996)Asset Pricing with Heterogene…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Permanent and Transitory Components of GNP and Stock Prices (1994)Permanent and Transitory Comp…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…The Consumption of Stockholders and Non-Stockholders (1990)The Consumption of Stockholde…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…Forecasting and combining competing models of exchange rate determination (2008)Forecasting and combining com…Consumption, wealth and business cycles in Germany (2007)Consumption, wealth and busin…Tax Evasion and Self-Employment in a High-Tax Country: Evidence from Sweden (2006)Tax Evasion and Self-Employme…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A SENSITIVITY ANALYSIS OF CROSS-COUNTRY GROWTH REGRESSIONS (1991)The consolidation of the financial services industry: Causes, consequences, and implications for the future (1999)Has Financial Development Made the World Riskier? (2005)How Laws and Institutions Shape Financial Contracts: The Case of Bank Loans (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Realized Variance and Market Microstructure Noise (2006)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Applied Probability and Queues (1987)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)An Intertemporal Capital Asset Pricing Model (1973)The equity premium: A puzzle (1985)Strategic Asset Allocation (2002)Equity Portfolio Diversification (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Common risk factors in the returns on stocks and bonds (1993)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Entrepreneurship, Frictions, and Wealth (2006)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Econometric policy evaluation: A critique (1976)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)Investor Psychology and Security Market Under‐ and Overreactions (1998)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)
this work references cited by second hop

References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1996The Finance-Growth Nexus: Evidence from Bank Branch Deregulation1,721 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1990The Consumption of Stockholders and Non-Stockholders1,289 cited
  • 1996Asset Pricing with Heterogeneous Consumers1,197 cited
  • 2000Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk1,042 cited
  • 1998Earnings and Expected Returns635 cited
  • 2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption569 cited
  • 1994Permanent and Transitory Components of GNP and Stock Prices549 cited
  • 2000Portfolio Choice in the Presence of Background Risk539 cited
  • 2003The Cross Section of Expected REIT Returns

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518 cited
  • 2002The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?484 cited
  • Cited by

    • 2006Tax Evasion and Self-Employment in a High-Tax Country: Evidence from Sweden72 cited
    • 2008Forecasting and combining competing models of exchange rate determination54 cited
    • 2007Consumption, wealth and business cycles in Germany19 cited