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Is the Value Premium a Puzzle
16 references·6 citing·32 second hop
Is the Value Premium a Puzzle (2006)Is the Value Premium a PuzzleProspect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…ARCH modeling in finance (1992)ARCH modeling in financeA VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …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…Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures (2014)Size, value, and momentum in …An Estimation of Economic Models with Recursive Preferences (2012)An Estimation of Economic Mod…Advances in Consumption-Based Asset Pricing: Empirical Tests (2011)Advances in Consumption-Based…Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2010)Volatility in Equilibrium: As…Rational Pessimism, Rational Exuberance, and Asset Pricing Models (2007)Rational Pessimism, Rational …Long-Run Risks and Financial Markets (2007)Long-Run Risks and Financial …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2001Prospect Theory and Asset Prices1,876 cited

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1990
A VARIANCE DECOMPOSITION FOR STOCK RETURNS
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Cited by

  • 2012An Estimation of Economic Models with Recursive Preferences52 cited
  • 2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models52 cited
  • 2007Long-Run Risks and Financial Markets51 cited
  • 2011Advances in Consumption-Based Asset Pricing: Empirical Tests39 cited
  • 2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies38 cited
  • 2014Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures33 cited