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The Lucas Orchard
16 references·4 citing·42 second hop
The Lucas Orchard (2011)The Lucas OrchardWas there a Nasdaq bubble in the late 1990s?☆ (2006)Was there a Nasdaq bubble in …Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Labor Income and Predictable Stock Returns (2005)Labor Income and Predictable …Bad Beta, Good Beta (2004)Bad Beta, Good BetaFinancial Modelling with Jump Processes (2003)Financial Modelling with Jump…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Why the Far-Distant Future Should Be Discounted at Its Lowest Possible Rate (1998)Why the Far-Distant Future Sh…Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Dynamic Equilibrium and the R…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Models of Business Cycles. (1988)Models of Business Cycles.The equity premium: A puzzle (1985)The equity premium: A puzzleAn 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…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Pitfalls in Financial Model-Building (1968)Pitfalls in Financial Model-B…Asset Prices, Global Portfolios, and the International Financial System (2021)Asset Prices, Global Portfoli…Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement (2017)Two Trees with Heterogeneous …Momentum Effect as Part of a Market Equilibrium (2014)Momentum Effect as Part of a …Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Rare Disasters, Asset Prices, and Welfare Costs (2009)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Uncertainty shocks are aggregate demand shocks (2016)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)The Cross-Section of Expected Stock Returns (1992)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Digesting Anomalies: An Investment Approach (2012)Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)
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References

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  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2004Bad Beta, Good Beta1,179 cited
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  • 1988Models of Business Cycles.941 cited
  • 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World642 cited
  • 2005Labor Income and Predictable Stock Returns546 cited
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Was there a Nasdaq bubble in the late 1990s?☆
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  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 2017Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement22 cited
  • 2021Asset Prices, Global Portfolios, and the International Financial System19 cited
  • 2014Momentum Effect as Part of a Market Equilibrium15 cited