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Risk aversion and stock price sensitivity to dividends
15 references·1 citing·42 second hopsampled
Risk aversion and stock price sensitivity to dividends (1997)Risk aversion and stock price sensitivity…Asset Holding and Consumption Volatility (2002)Asset Holding and Consumption…Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models (1994)Hansen-Jagannathan Bounds as …Intertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…Explaining the Variance of Price–Dividend Ratios (1992)Explaining the Variance of Pr…The Consumption of Stockholders and Non-Stockholders (1990)The Consumption of Stockholde…On the ‘discount’ factor in growth economies (1990)On the ‘discount’ factor in g…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model (1988)Stock Prices Under Time-Varyi…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Bias in Small Sample Tests of Stock Price Rationality (1986)Bias in Small Sample Tests of…The equity premium: A puzzle (1985)The equity premium: A puzzleDividend variability and variance bounds tests for the rationality of stock market prices (1983)Dividend variability and vari…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Measuring the US social discount rate (2006)Measuring the US social disco…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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Fads in the Initial Public Offering Market? (1990)Liquidity and interest rates (1990)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)An Intertemporal Capital Asset Pricing Model (1973)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)Equity Portfolio Diversification (2008)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Value Spread (2003)The Dog that Did Not Bark: A Defense of Return Predictability (2006)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)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The arbitrage theory of capital asset pricing (1976)A Theory of the Term Structure of Interest Rates (1985)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)There is a risk-return trade-off after all (2005)Carry Trades and Global Foreign Exchange Volatility (2012)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)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)Presidential Address: Discount Rates (2011)The Theory of Syndicates (1968)Martingales and arbitrage in multiperiod securities markets (1979)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)ARCH modeling in finance (1992)
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References

  • 1985The equity premium: A puzzle5,785 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
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990The Consumption of Stockholders and Non-Stockholders1,289 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data954 cited
  • 1992Explaining the Variance of Price–Dividend Ratios482 cited
  • 1983Dividend variability and variance bounds tests for the rationality of stock market prices435 cited
  • 2002Asset Holding and Consumption Volatility260 cited
  • 1990On the ‘discount’ factor in growth economies145 cited
  • 1988Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model131 cited
  • 1994Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models76 cited
  • 1986Bias in Small Sample Tests of Stock Price Rationality75 cited

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Cited by

  • 2006Measuring the US social discount rate22 cited