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Disaster Risk and Its Implications for Asset Pricing
16 references·11 citing·40 second hop
Disaster Risk and Its Implications for Asset Pricing (2015)Disaster Risk and Its Implications for As…Handbook of the Economics of Finance (2013)Handbook of the Economics of …Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?* (2011)Depression Babies: Do Macroec…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…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…Job Creation and Job Destruction in the Theory of Unemployment (1994)Job Creation and Job Destruct…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …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 puzzleDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Climate risks and state-level stock market realized volatility (2023)Climate risks and state-level…Climate change financial risks: Implications for asset pricing and interest rates (2022)Climate change financial risk…Pricing climate-related risks in the bond market (2021)Pricing climate-related risks…Exchange Rates and Sovereign Risk (2021)Exchange Rates and Sovereign …Pricing Climate Change Risks: CAPM with Rare Disasters and Stochastic Probabilities (2019)Pricing Climate Change Risks:…Factor Premia and Factor Timing: A Century of Evidence (2019)Factor Premia and Factor Timi…Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks? (2018)Time-Varying Risk of Nominal …Do Rare Events Explain CDX Tranche Spreads? (2018)Do Rare Events Explain CDX Tr…The Tradeoffs in Leaning Against the Wind (2017)The Tradeoffs in Leaning Agai…Disaster recovery and the term structure of dividend strips (2016)Disaster recovery and the ter…Crash Beliefs From Investor Surveys (2016)Crash Beliefs From Investor S…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)Asset Prices in an Exchange Economy (1978)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)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)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)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Time to Build and Aggregate Fluctuations (1982)The Cyclical Behavior of Equilibrium Unemployment and Vacancies (2005)Reassessing the Ins and Outs of Unemployment (2007)Workplace Heterogeneity and the Rise of West German Wage Inequality* (2013)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 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
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1994Job Creation and Job Destruction in the Theory of Unemployment3,846 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2011Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?*2,479 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited

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2006
Rare Disasters and Asset Markets in the Twentieth Century*
2,324 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • Cited by

    • 2021Pricing climate-related risks in the bond market109 cited
    • 2021Exchange Rates and Sovereign Risk108 cited
    • 2022Climate change financial risks: Implications for asset pricing and interest rates99 cited
    • 2016Crash Beliefs From Investor Surveys98 cited
    • 2018Do Rare Events Explain CDX Tranche Spreads?87 cited
    • 2016Disaster recovery and the term structure of dividend strips81 cited
    • 2023Climate risks and state-level stock market realized volatility64 cited
    • 2019Pricing Climate Change Risks: CAPM with Rare Disasters and Stochastic Probabilities53 cited
    • 2018Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?41 cited
    • 2019Factor Premia and Factor Timing: A Century of Evidence26 cited
    • 2017The Tradeoffs in Leaning Against the Wind23 cited