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Consumption-Based Asset Pricing
16 references·16 citing·41 second hopsampled
Consumption-Based Asset Pricing (2002)Consumption-Based Asset PricingThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Legal Determinants of External Finance (1997)Legal Determinants of Externa…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeNoise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Expected stock returns and volatility (1987)Expected stock returns and vo…The equity premium: A puzzle (1985)The equity premium: A puzzleAsset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A model of investor sentiment /A model of investor sentiment…Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains (2019)Saving Behavior Across the We…Asset Pricing with Return Extrapolation (2017)Asset Pricing with Return Ext…Investor Information, Long-Run Risk, and the Term Structure of Equity (2014)Investor Information, Long-Ru…Macroeconomic determinants of stock volatility and volatility premiums (2012)Macroeconomic determinants of…Consumption-Based Asset Pricing with Higher Cumulants (2012)Consumption-Based Asset Prici…The term structures of equity and interest rates (2011)The term structures of equity…Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2011)Natural Expectations, Macroec…CAPM for estimating the cost of equity capital: Interpreting the empirical evidence (2011)CAPM for estimating the cost …Overborrowing, Financial Crises and 'Macro-prudential' Taxes (2010)Overborrowing, Financial Cris…The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2009)The Long-Run Risks Model and …Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2009)Inflation Bets or Deflation H…Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2008)Variable Rare Disasters: An E…Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2008)Inflation Bets or Deflation H…Rational Pessimism, Rational Exuberance, and Asset Pricing Models (2007)Rational Pessimism, Rational …The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2004)The Declining Equity Premium:…The Equity Premium: Why is it a Puzzle? (2003)The Equity Premium: Why is it…What Do We Know about Capital Structure? Some Evidence from International Data (1995)A Survey of Corporate Governance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)Investor protection and corporate governance (2000)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Common risk factors in the returns on stocks and bonds (1993)Time to Build and Aggregate Fluctuations (1982)Efficient Capital Markets: II (1991)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1997Legal Determinants of External Finance9,776 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Expected stock returns and volatility4,147 cited

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A model of investor sentiment /
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Cited by

  • 2011The term structures of equity and interest rates221 cited
  • 2009The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment216 cited
  • 2003The Equity Premium: Why is it a Puzzle?204 cited
  • 2010Overborrowing, Financial Crises and 'Macro-prudential' Taxes204 cited
  • 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?200 cited
  • 2008Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance198 cited
  • 2011CAPM for estimating the cost of equity capital: Interpreting the empirical evidence179 cited
  • 2012Consumption-Based Asset Pricing with Higher Cumulants177 cited
  • 2011Natural Expectations, Macroeconomic Dynamics, and Asset Pricing153 cited
  • 2014Investor Information, Long-Run Risk, and the Term Structure of Equity149 cited
  • 2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models147 cited
  • 2009Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds140 cited
  • 2012Macroeconomic determinants of stock volatility and volatility premiums136 cited
  • 2019Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains132 cited
  • 2008Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds121 cited
  • 2017Asset Pricing with Return Extrapolation120 cited