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Information Quality and Long‐Run Risk: Asset Pricing Implications
16 references·16 citing·37 second hopsampled
Information Quality and Long‐Run Risk: Asset Pricing Implications (2010)Information Quality and Long‐Run Risk: As…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Understanding Risk and Return (1993)Understanding Risk and ReturnDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Continuous-Time Finance. (1991)Continuous-Time Finance.Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …The equity premium: A puzzle (1985)The equity premium: A puzzleIntertemporal Substitution in Consumption (1981)Intertemporal Substitution in…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The cross section of the monetary policy announcement premium (2021)The cross section of the mone…News Shocks and the Production-Based Term Structure of Equity Returns (2018)News Shocks and the Productio…Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016)Parameter Learning in General…Learning about Consumption Dynamics (2015)Learning about Consumption Dy…Competition, Markups and Predictable Returns (2015)Competition, Markups and Pred…Investor Information, Long-Run Risk, and the Term Structure of Equity (2014)Investor Information, Long-Ru…Cross-Country Heterogeneity in Intertemporal Substitution (2013)Cross-Country Heterogeneity i…Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2012)Toward a Quantitative General…Parameter Learning in General Equilibrium: The Asset Pricing Implications (2012)Parameter Learning in General…Fiscal Policies and Asset Prices (2012)Fiscal Policies and Asset Pri…Asset Pricing in Production Economies with Extrapolative Expectations (2012)Asset Pricing in Production E…Learning and Asset-price Jumps (2011)Learning and Asset-price JumpsInformation aggregation around macroeconomic announcements: Revisions matter (2011)Information aggregation aroun…Robust consumption and portfolio choice for time varying investment opportunities (2010)Robust consumption and portfo…Dynamic portfolio choice under ambiguity and regime switching mean returns (2010)Dynamic portfolio choice unde…Investor Information, Long-Run Risk, and the Term Structure of Equity (2007)Investor Information, Long-Ru…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Investor Psychology and Asset Pricing (2001)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)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)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)Common risk factors in the returns on stocks and bonds (1993)The Pricing of Options and Corporate Liabilities (1973)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)A five-factor asset pricing model (2014)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)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 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
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited

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  • 1981Intertemporal Substitution in Consumption1,397 cited
  • Cited by

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