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Production-Based Term Structure of Equity Returns
16 references·1 citing·40 second hop
Production-Based Term Structure of Equity Returns (2013)Production-Based Term Structure of Equity…News shocks and business cycles (2011)News shocks and business cycl…Technological Revolutions and Stock Prices (2009)Technological Revolutions and…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Why Is Long‐Horizon Equity Le…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Consumption, Dividends, and the Cross Section of Equity Returns (2005)Consumption, Dividends, and t…Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Corporate Investment and Asse…Equilibrium Cross Section of Returns (2003)Equilibrium Cross Section of …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Risk-sensitive real business cycles (2000)Risk-sensitive real business …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Asset pricing in production economies (1998)Asset pricing in production e…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…The Term Structure of Returns: Facts and Theory (2015)The Term Structure of Returns…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Perspectives on Behavioral Finance: Does "Irrationality" Disappear with Wealth? Evidence from Expectations and Actions (2003)Do the Fama–French Factors Proxy for Innovations in Predictive Variables? (2006)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)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The equity premium: A puzzle (1985)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)Time to Build and Aggregate Fluctuations (1982)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)The Value Premium (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Organization Capital and the Cross‐Section of Expected Returns (2013)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Industries Explain Momentum? (1999)The Stock Market Valuation of Research and Development Expenditures (2001)PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)Investment Under Uncertainty. (1994)Forecast Dispersion and the Cross Section of Expected Returns (2004)The New Issues Puzzle: Testing the Investment-Based Explanation (2007)Attracting Investor Attention through Advertising (2014)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 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
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 1998Asset pricing in production economies1,083 cited
  • 2003Equilibrium Cross Section of Returns785 cited
  • 2004Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns778 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2000Risk-sensitive real business cycles670 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited
  • 2009Technological Revolutions and Stock Prices537 cited
  • 2011News shocks and business cycles

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534 cited
  • 2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium506 cited
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    • 2015The Term Structure of Returns: Facts and Theory19 cited