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Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations
16 references·11 citing·41 second hop
Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations (1987)Non-stationarity and stage-of-the-busines…Short- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Consumption and Liquidity Constraints: An Empirical Investigation (1989)Consumption and Liquidity Con…Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty (1988)A Time Series Analysis of Rep…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Intertemporal Substitution in Macroeconomics (1982)Intertemporal Substitution in…Intertemporal Substitution in Consumption (1981)Intertemporal Substitution in…The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks? (2018)Time-Varying Risk of Nominal …Seeing the Unobservable from the Invisible: The Role of CO2 in Measuring Consumption Risk (2017)Seeing the Unobservable from …Consumption and Liquidity Constraints (2011)Consumption and Liquidity Con…Euler equation errors (2008)Euler equation errorsTime-varying risk aversion and asset prices (2006)Time-varying risk aversion an…Risk, Uncertainty, and Asset Prices (2005)Risk, Uncertainty, and Asset …Conditioning Information and Variance Bounds on Pricing Kernels (2001)Conditioning Information and …1 Econometric evaluation of asset pricing models (1996)1 Econometric evaluation of a…Chapter 5 Theory and empirical testing of asset pricing models (1995)Chapter 5 Theory and empirica…A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle (1993)A Jump/Diffusion Consumption‐…Interpreting the Movements in Short-Term Interest Rates (1992)Interpreting the Movements in…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Credit Rationing in Markets with Imperfect Information (1981)Golden Eggs and Hyperbolic Discounting (1997)The analysis of household surveys (1997)Econometric Analysis of Cross Section and Panel Data (2001)An Intertemporal Capital Asset Pricing Model (1973)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)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)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)On the measurement of inequality (1970)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)The arbitrage theory of capital asset pricing (1976)
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References

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  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
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  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
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  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
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  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1988A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty581 cited
  • 1982Intertemporal Substitution in Macroeconomics539 cited

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  • 1980The Determinants of the Variability of Stock Market Prices511 cited
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    • 2006Time-varying risk aversion and asset prices61 cited
    • 1995Chapter 5 Theory and empirical testing of asset pricing models59 cited
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    • 2005Risk, Uncertainty, and Asset Prices45 cited
    • 2018Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?41 cited
    • 2011Consumption and Liquidity Constraints40 cited
    • 2001Conditioning Information and Variance Bounds on Pricing Kernels39 cited
    • 1992Interpreting the Movements in Short-Term Interest Rates30 cited
    • 1993A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle27 cited
    • 2017Seeing the Unobservable from the Invisible: The Role of CO2 in Measuring Consumption Risk24 cited