SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Consumption Risk and the Cross Section of Expected Returns
16 references·16 citing·32 second hopsampled
Consumption Risk and the Cross Section of Expected Returns (2005)Consumption Risk and the Cross Section 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…Handbook of macroeconomics (1999)Handbook of macroeconomicsThe 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…Understanding Risk and Return (1993)Understanding Risk and ReturnCommon 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…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…The equity premium: A puzzle (1985)The equity premium: A puzzleStock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Risk Preferences and the Macroeconomic Announcement Premium (2018)Risk Preferences and the Macr…Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology (2013)Pricing Model Performance and…Testing Factor-Model Explanations of Market Anomalies (2012)Testing Factor-Model Explanat…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The Cross Section of Foreign …Asset Pricing with Garbage (2011)Asset Pricing with GarbageLong-Run Risk through Consumption Smoothing (2010)Long-Run Risk through Consump…Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Infrequent Portfolio Decision…Correlation Risk and Optimal Portfolio Choice (2010)Correlation Risk and Optimal …Long‐Run Stockholder Consumption Risk and Asset Returns (2009)Long‐Run Stockholder Consumpt…Durability of Output and Expected Stock Returns (2009)Durability of Output and Expe…Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2008)Variable Rare Disasters: An E…Long-Run Stockholder Consumption Risk and Asset Returns (2008)Long-Run Stockholder Consumpt…Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Why Is Long‐Horizon Equity Le…Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns (2007)Lazy Investors, Discretionary…Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2005)Why is Long-Horizon Equity Le…Financial Markets and the Real Economy (2005)Financial Markets and the Rea…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Behavior of Stock-Market Prices (1965)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)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)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)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)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Asset Pricing (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators

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

1,277 cited
  • 1999Handbook of macroeconomics1,276 cited
  • Cited by

    • 2005Financial Markets and the Real Economy572 cited
    • 2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium506 cited
    • 2011The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment472 cited
    • 2010Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle368 cited
    • 2010Long-Run Risk through Consumption Smoothing345 cited
    • 2009Long‐Run Stockholder Consumption Risk and Asset Returns339 cited
    • 2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns311 cited
    • 2013Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology295 cited
    • 2010Correlation Risk and Optimal Portfolio Choice265 cited
    • 2008Long-Run Stockholder Consumption Risk and Asset Returns246 cited
    • 2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium229 cited
    • 2018Risk Preferences and the Macroeconomic Announcement Premium228 cited
    • 2012Testing Factor-Model Explanations of Market Anomalies205 cited
    • 2011Asset Pricing with Garbage200 cited
    • 2009Durability of Output and Expected Stock Returns200 cited
    • 2008Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance198 cited