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Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective
16 references·16 citing·22 second hopsampled
Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective (2001)Expectations of Equity Risk Premia, Volat…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Stock market expectations and risk aversion of individual investors (2015)Stock market expectations and…House price dynamics: Fundamentals and expectations (2015)House price dynamics: Fundame…THE RESPONSE OF FIRMS' LEVERAGE TO RISK: EVIDENCE FROM UK PUBLIC VERSUS NONPUBLIC MANUFACTURING FIRMS (2013)THE RESPONSE OF FIRMS' LEVERA…Overconfidence (2010)OverconfidenceThe impact of macroeconomic uncertainty on firms' changes in financial leverage (2009)The impact of macroeconomic u…HOW DO MANAGERS BEHAVE IN STOCK OPTION PLANS? CLINICAL EVIDENCE FROM EXERCISE AND SURVEY DATA (2009)HOW DO MANAGERS BEHAVE IN STO…The Equity Risk Premium in 2008: Evidence from the Global CFO Outlook Survey (2008)The Equity Risk Premium in 20…Expectations of Risk and Return Among Household Investors: Are Their Sharpe Ratios Countercyclical? (2008)Expectations of Risk and Retu…Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns (2007)Framing Effects in Stock Mark…The long-run equity risk premium (2005)The long-run equity risk prem…Relative Performance Evaluation Contracts and Asset Market Equilibrium (2005)Relative Performance Evaluati…How Did It Happen? (2004)How Did It Happen?Equity Risk Premium (2004)Equity Risk PremiumBehavioral Finance (2004)Behavioral FinanceEmployee Stock Options, Corporate Taxes and Debt Policy (2002)Employee Stock Options, Corpo…The Equity Premium Consensus Forecast Revisited (2001)The Equity Premium Consensus …Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Managing with Style: The Effect of Managers on Firm Policies (2003)Law, finance, and economic growth in China (2005)The economic implications of corporate financial reporting (2005)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Pricing of Options and Corporate Liabilities (1973)The Cross‐Section of Volatility and Expected Returns (2006)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2002

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Differences of Opinion and the Cross Section of Stock Returns
2,145 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • Cited by

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    • 2007Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns86 cited
    • 2008The Equity Risk Premium in 2008: Evidence from the Global CFO Outlook Survey66 cited
    • 2005Relative Performance Evaluation Contracts and Asset Market Equilibrium64 cited
    • 2004Behavioral Finance62 cited
    • 2002Employee Stock Options, Corporate Taxes and Debt Policy61 cited
    • 2004How Did It Happen?60 cited
    • 2015Stock market expectations and risk aversion of individual investors52 cited
    • 2010Overconfidence50 cited
    • 2001The Equity Premium Consensus Forecast Revisited50 cited
    • 2008Expectations of Risk and Return Among Household Investors: Are Their Sharpe Ratios Countercyclical?45 cited
    • 2009The impact of macroeconomic uncertainty on firms' changes in financial leverage42 cited
    • 2004Equity Risk Premium42 cited
    • 2013THE RESPONSE OF FIRMS' LEVERAGE TO RISK: EVIDENCE FROM UK PUBLIC VERSUS NONPUBLIC MANUFACTURING FIRMS37 cited
    • 2009HOW DO MANAGERS BEHAVE IN STOCK OPTION PLANS? CLINICAL EVIDENCE FROM EXERCISE AND SURVEY DATA37 cited