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Term Structures of Asset Prices and Returns
16 references·0 citing·45 second hopsampled
Term Structures of Asset Prices and Returns (2016)Term Structures of Asset Prices and Retur…A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)A Long-Run Risks Explanation …Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset (2011)Term Premia and Inflation Unc…Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2010)Can Time-Varying Risk of Rare…The TIPS Yield Curve and Inflation Compensation (2009)The TIPS Yield Curve and Infl…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…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…A consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Explaining the Variance of Price–Dividend Ratios (1992)Explaining the Variance of Pr…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The equity risk premium a solution (1988)The equity risk premium a sol…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Consumption of Stockholders and Non-Stockholders (1990)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Short- Term Interest Rates as Predictors of Inflation (2021)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)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Good and bad uncertainty: Macroeconomic and financial market implications (2015)Rare Disasters and Exchange Rates * (2015)Bond Risk Premiums with Machine Learning (2020)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)Parsimonious Modeling of Yield Curves (1987)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Investor sentiment and the mean–variance relation☆ (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 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
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 2012A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets531 cited
  • 2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium506 cited
  • 2011Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset504 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies498 cited
  • 1992Explaining the Variance of Price–Dividend Ratios482 cited
  • 2009The TIPS Yield Curve and Inflation Compensation

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365 cited
  • 2010Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?349 cited
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