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Consumption, (dis)aggregate wealth, and asset returns

16 references·16 citing·34 second hopsampled

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
1991Efficient Capital Markets: II5,346 cited
1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
1988Dividend yields and expected stock returns3,574 cited
1996Numerical distribution functions for unit root and cointegration tests3,119 cited
1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
1991Investor Diversification and International Equity Markets2,542 cited
1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
1990

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Habit Formation: A Resolution of the Equity Premium Puzzle

2,129 cited

2005Does financial liberalization spur growth?2,011 cited

1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited

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2011CONSUMPTION, WEALTH, STOCK AND GOVERNMENT BOND RETURNS: INTERNATIONAL EVIDENCE*26 cited
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