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The Cross-Section and Time-Series of Stock and Bond Returns
16 references·10 citing·40 second hop
The Cross-Section and Time-Series of Stock and Bond Returns (2011)The Cross-Section and Time-Series of Stoc…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Stock and Bond Returns with Moody Investors (2006)Stock and Bond Returns with M…Equilibrium Yield Curves (2006)Equilibrium Yield CurvesDo the Fama–French Factors Proxy for Innovations in Predictive Variables? (2006)Do the Fama–French Factors Pr…A consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …The Value Premium (2002)The Value PremiumStock Return Predictability: Is it There? (2001)Stock Return Predictability: …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Signaling, Investment Opportunities, and Dividend Announcements (1995)Signaling, Investment Opportu…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Contrarian Investment, Extrapolation, and Risk (1993)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Spectral factor models (2021)Spectral factor modelsFalling Rates and Rising Superstars (2021)Falling Rates and Rising Supe…Global Macro-Financial Cycles and Spillovers (2020)Global Macro-Financial Cycles…Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model (2014)Combining momentum, value, an…Tail Risk and Asset Prices (2013)Tail Risk and Asset PricesIntertemporal CAPM with Conditioning Variables (2012)Intertemporal CAPM with Condi…Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2011)Variance Bounds on the Perman…Macro Expectations, Aggregate Uncertainty, and Expected Term Premia (2011)Macro Expectations, Aggregate…Advances in Consumption-Based Asset Pricing: Empirical Tests (2011)Advances in Consumption-Based…Predictability of Returns and Cash Flows (2010)Predictability of Returns and…Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Financial Markets and the Real Economy (2005)Is value riskier than growth? (2005)What Factors Drive Global Stock Returns? (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Multifactor models do not explain deviations from the CAPM (1995)When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms (2002)The Econometrics of Event Studies (2004)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)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Investor sentiment and the mean–variance relation☆ (2010)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 2006Do the Fama–French Factors Proxy for Innovations in Predictive Variables?719 cited
  • 1993Contrarian Investment, Extrapolation, and Risk695 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2001Stock Return Predictability: Is it There?335 cited
  • 1995Signaling, Investment Opportunities, and Dividend Announcements309 cited
  • 2006Equilibrium Yield Curves306 cited
  • 2002The Value Premium235 cited
  • 2006Stock and Bond Returns with Moody Investors

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199 cited

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  • 2010Predictability of Returns and Cash Flows77 cited
  • 2021Spectral factor models72 cited
  • 2012Intertemporal CAPM with Conditioning Variables69 cited
  • 2020Global Macro-Financial Cycles and Spillovers50 cited
  • 2011Macro Expectations, Aggregate Uncertainty, and Expected Term Premia46 cited
  • 2011Advances in Consumption-Based Asset Pricing: Empirical Tests39 cited
  • 2014Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model36 cited
  • 2013Tail Risk and Asset Prices31 cited
  • 2011Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors29 cited
  • 2021Falling Rates and Rising Superstars27 cited