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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
13 references·16 citing·38 second hop
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, and the Temp…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Consumption and Liquidity Constraints: An Empirical Investigation (1989)Consumption and Liquidity Con…A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty (1988)A Time Series Analysis of Rep…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The equity premium: A puzzle (1985)The equity premium: A puzzleStochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Stationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…The economics and psychology of personality traits (2008)The economics and psychology …The Economics and Psychology of Personality Traits (2008)The Economics and Psychology …Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…A Consumption‐Based Explanation of Expected Stock Returns (2006)A Consumption‐Based Explanati…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …Bad Beta, Good Beta (2004)Bad Beta, Good BetaStrategic Asset Allocation (2002)Strategic Asset AllocationInvestor psychology in capital markets: evidence and policy implications (2002)Investor psychology in capita…Asset Pricing at the Millennium (2000)Asset Pricing at the Millenni…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Intertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…Asset Prices in an Exchange Economy (1978)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)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)A Theory of the Term Structure of Interest Rates (1985)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (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 Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1988A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty581 cited

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  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited

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1998
Optimal Investment, Growth Options, and Security Returns
1,477 cited
  • 2008The Economics and Psychology of Personality Traits1,412 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2004Bad Beta, Good Beta1,167 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2008The economics and psychology of personality traits960 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data954 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 2002Investor psychology in capital markets: evidence and policy implications760 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2000Asset Pricing at the Millennium734 cited
  • 2006A Consumption‐Based Explanation of Expected Stock Returns653 cited
  • 2004Option‐Implied Risk Aversion Estimates647 cited