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Stock and Bond Pricing in an Affine Economy
16 references·6 citing·40 second hop
Stock and Bond Pricing in an Affine Economy (1999)Stock and Bond Pricing in an Affine Econo…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…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 …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…FOREIGN ECONOMIC POTENTIAL AND ITS IMPACT ON SUSTAINABILITY OF THE REGIONAL ECONOMY (2022)FOREIGN ECONOMIC POTENTIAL AN…Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums (2012)Macroeconomic Determinants of…The Wealth-Consumption Ratio (2008)The Wealth-Consumption RatioOn the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis (2005)On the relationship between c…No-Arbitrage Macroeconomic Determinants of the Yield Curve (2005)No-Arbitrage Macroeconomic De…How to Discount Cashflows with Time-Varying Expected Returns (2002)How to Discount Cashflows wit…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)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)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)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)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited

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  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • Cited by

    • 2005On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis80 cited
    • 2002How to Discount Cashflows with Time-Varying Expected Returns51 cited
    • 2008The Wealth-Consumption Ratio49 cited
    • 2005No-Arbitrage Macroeconomic Determinants of the Yield Curve47 cited
    • 2012Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums43 cited
    • 2022FOREIGN ECONOMIC POTENTIAL AND ITS IMPACT ON SUSTAINABILITY OF THE REGIONAL ECONOMY2 cited