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Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
16 references·0 citing·46 second hopsampled
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model (2012)Return predictability and intertemporal a…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Efficient tests of stock return predictability☆ (2006)Efficient tests of stock retu…Predicting returns with financial ratios (2004)Predicting returns with finan…Strategic Asset Allocation (2002)Strategic Asset AllocationInternational Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Predictive regressions (1999)Predictive regressionsConsumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Small-sample Confidence Intervals for Impulse Response Functions (1998)Small-sample Confidence Inter…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Predictable Stock Returns: The Role of Small Sample Bias (1993)Predictable Stock Returns: Th…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An Intertemporal Capital Asset Pricing Model (1973)The equity premium: A puzzle (1985)Optimal Investment, Growth Options, and Security Returns (1998)The Economics and Psychology of Personality Traits (2008)Expected Stock Returns and Variance Risk Premia (2009)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Prospect Theory: An Analysis of Decision under Risk (1979)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Household Risk Management and Optimal Mortgage Choice (2003)Predicting the Equity Premium with Dividend Ratios (2003)Dynamic Mean-Variance Asset Allocation (2010)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Expectations of Returns and Expected Returns (2014)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)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 short of it: Investor sentiment and anomalies (2011)
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References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1999Predictive regressions1,614 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2004Predicting returns with financial ratios1,002 cited
  • 2006Efficient tests of stock return predictability☆992 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited

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  • 1993Predictable Stock Returns: The Role of Small Sample Bias651 cited
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