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Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators
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Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators (2009)Assessing Misspecified Asset Pricing Mode…Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)Higher Order Properties of Gm…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Foundations for Financial Economics. (1989)Foundations for Financial Eco…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The equity premium: A puzzle (1985)The equity premium: A puzzleArbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An 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…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cross-Section of Expected Stock Returns (1992)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)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)GMM Estimation of Empirical Growth Models (2001)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)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)ARCH modeling in finance (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 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
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1989Foundations for Financial Economics.831 cited
  • 2003Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

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806 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
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