SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns
16 references·3 citing·38 second hop
Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns (2009)Habit persistence: Explaining cross-secti…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Consumption Risk and the Cross Section of Expected Returns (2005)Consumption Risk and the Cros…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionA consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…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…Predictive regressions (1999)Predictive regressionsBy Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Book-to-market, dividend yield, and expected market returns: A time-series analysis (1997)Book-to-market, dividend yiel…Predictable Stock Returns: The Role of Small Sample Bias (1993)Predictable Stock Returns: Th…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Habit Formation, Surplus Consumption and Return Predictability: International Evidence (2009)Habit Formation, Surplus Cons…Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach (2009)Estimating US Monetary Policy…An iterated GMM procedure for estimating the Campbell–Cochrane habit formation model, with an application to Danish Stock and bond returns (2009)An iterated GMM procedure for…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The equity premium: A puzzle (1985)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)Industry costs of equity (1997)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Expected stock returns and volatility (1987)Yield Spreads and Interest Rate Movements: A Bird's Eye View (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)Investor Psychology and Asset Pricing (2001)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 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
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1999Predictive regressions1,614 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1997Book-to-market, dividend yield, and expected market returns: A time-series analysis763 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 1993Predictable Stock Returns: The Role of Small Sample Bias

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

651 cited
  • 2005Consumption Risk and the Cross Section of Expected Returns581 cited
  • Cited by

    • 2009Habit Formation, Surplus Consumption and Return Predictability: International Evidence31 cited
    • 2009An iterated GMM procedure for estimating the Campbell–Cochrane habit formation model, with an application to Danish Stock and bond returns26 cited
    • 2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach15 cited