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Estimation and Evaluation of Conditional Asset Pricing Models
16 references·7 citing·31 second hop
Estimation and Evaluation of Conditional Asset Pricing Models (2010)Estimation and Evaluation of Conditional …A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The conditional CAPM does not…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)Higher Order Properties of Gm…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…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Common 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…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Conditional risk and the pricing kernel (2025)Conditional risk and the pric…Complexity in Factor Pricing Models (2023)Complexity in Factor Pricing …A One-Factor Model of Corporate Bond Premia (2023)A One-Factor Model of Corpora…Estimation of Large Dimensional Conditional Factor Models in Finance (2019)Estimation of Large Dimension…Volatility Managed Portfolios (2016)Volatility Managed PortfoliosAdvances in Consumption-Based Asset Pricing: Empirical Tests (2011)Advances in Consumption-Based…Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns (2010)Composition of Wealth, Condit…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)A five-factor asset pricing model (2014)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)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Time to Build and Aggregate Fluctuations (1982)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)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)The equity premium: A puzzle (1985)Organization Capital and the Cross‐Section of Expected Returns (2013)Expectations of Returns and Expected Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model1,023 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 2006The conditional CAPM does not explain asset-pricing anomalies☆931 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate

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923 cited
  • 2003Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators806 cited
  • Cited by

    • 2023A One-Factor Model of Corporate Bond Premia41 cited
    • 2016Volatility Managed Portfolios40 cited
    • 2011Advances in Consumption-Based Asset Pricing: Empirical Tests39 cited
    • 2019Estimation of Large Dimensional Conditional Factor Models in Finance35 cited
    • 2010Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns26 cited
    • 2025Conditional risk and the pricing kernel24 cited
    • 2023Complexity in Factor Pricing Models23 cited