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Consumption, Asset Markets, and Macroeconomic Fluctuations
16 references·4 citing·33 second hop
Consumption, Asset Markets, and Macroeconomic Fluctuations (1982)Consumption, Asset Markets, and Macroecon…Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data (2013)Utility Analysis and the Cons…Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…The Role of Intergenerational Transfers in Aggregate Capital Accumulation (1981)The Role of Intergenerational…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…The Adjustment of Consumption to Changing Expectations About Future Income (1981)The Adjustment of Consumption…Intertemporal Substitution in Consumption (1981)Intertemporal Substitution in…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…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…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS (1963)THE LIFE CYCLE HYPOTHESIS OF …Productivity Trends in the United States (1961)Productivity Trends in the Un…Utility analysis and the consumption function: An interpretation of cross-section data (1954)Utility analysis and the cons…Stochastic Discount Factor Bounds with Conditioning Information (2002)Stochastic Discount Factor Bo…Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle? (2002)Does Intrinsic Habit Formatio…Production Based Asset Pricing (1988)Production Based Asset PricingTaxation and Savings - A Neoclassical Perspective (1984)Taxation and Savings - A Neoc…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Social Security, Induced Retirement, and Aggregate Capital Accumulation (1974)Econometric policy evaluation: A critique (1976)Capital markets research in accounting (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Ricardian Approach to Budget Deficits (1989)The Demand for Unobservable and Other Nonpositional Goods (2016)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2013Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data2,508 cited
  • 1963THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS2,011 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1981The Adjustment of Consumption to Changing Expectations About Future Income1,326 cited
  • 1961Productivity Trends in the United States1,092 cited
  • 1954Utility analysis and the consumption function: An interpretation of cross-section data1,035 cited
  • 1981The Role of Intergenerational Transfers in Aggregate Capital Accumulation

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812 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
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    • 1984Taxation and Savings - A Neoclassical Perspective104 cited
    • 1988Production Based Asset Pricing37 cited
    • 2002Stochastic Discount Factor Bounds with Conditioning Information31 cited
    • 2002Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?23 cited