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Are Stocks Really Less Volatile in the Long Run?
16 references·4 citing·43 second hop
Are Stocks Really Less Volatile in the Long Run? (2008)Are Stocks Really Less Volatile in the Lo…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Optimal life cycle asset allocation : understanding the empirical evidence (2005)Optimal life cycle asset allo…Consumption and Portfolio Choice over the Life Cycle (2005)Consumption and Portfolio Cho…Portfolio Choice in the Presence of Housing (2004)Portfolio Choice in the Prese…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Predictive regressions (1999)Predictive regressionsThe Econometrics of Financial Markets (1997)The Econometrics of Financial…Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesDoes the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital (2011)Measurement Errors of Expecte…Equity Premia Around the World (2011)Equity Premia Around the WorldDynamic Asset Allocation with Ambiguous Return Predictability (2009)Dynamic Asset Allocation with…Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information (2006)Strategic Asset Allocation fo…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Investor Psychology and Asset Pricing (2001)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)An equilibrium characterization of the term structure (1977)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1999Predictive regressions1,614 cited
  • 2005Consumption and Portfolio Choice over the Life Cycle1,544 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 2004Portfolio Choice in the Presence of Housing1,004 cited
  • 2005

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Optimal life cycle asset allocation : understanding the empirical evidence
773 cited

Cited by

  • 2009Dynamic Asset Allocation with Ambiguous Return Predictability43 cited
  • 2011Equity Premia Around the World42 cited
  • 2006Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information31 cited
  • 2011Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital26 cited