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Good‐Specific Habit Formation and the Cross‐Section of Expected Returns
16 references·3 citing·41 second hop
Good‐Specific Habit Formation and the Cross‐Section of Expected Returns (2016)Good‐Specific Habit Formation and the Cro…The other side of value: The gross profitability premium (2013)The other side of value: The …The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …On the Nature of Capital Adjustment Costs (2006)On the Nature of Capital Adju…The Value Premium (2005)The Value PremiumLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …A Logit Model of Brand Choice Calibrated on Scanner Data (1983)A Logit Model of Brand Choice…The Solution of Linear Difference Models under Rational Expectations (1980)The Solution of Linear Differ…MONOPOLISTIC COMPETITION AND OPTIMUM PRODUCT DIVERSITY (1975)MONOPOLISTIC COMPETITION AND …Nominal Rigidities and Asset Pricing (2014)Nominal Rigidities and Asset …Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty (2014)Horizon-Dependent Risk Aversi…Asset Prices and Real Exchange Rates with Deep Habits (2014)Asset Prices and Real Exchang…A New Approach to Consumer Theory (1976)Endogenous Technological Change (1989)Increasing Returns and Economic Geography (1990)A Model of Growth Through Creative Destruction (1992)The monetary dynamics of hyperinflation (1956)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Aggregate Dynamics and Staggered Contracts (1980)Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies (1991)Solving Linear Rational Expectations Models (2002)Solving dynamic general equilibrium models using a second-order approximation to the policy function (2003)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1975MONOPOLISTIC COMPETITION AND OPTIMUM PRODUCT DIVERSITY7,391 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1980The Solution of Linear Difference Models under Rational Expectations2,412 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1983A Logit Model of Brand Choice Calibrated on Scanner Data1,806 cited
  • 2005The Value Premium1,334 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability

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1,227 cited
  • 2006On the Nature of Capital Adjustment Costs1,166 cited
  • Cited by

    • 2014Asset Prices and Real Exchange Rates with Deep Habits79 cited
    • 2014Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty29 cited
    • 2014Nominal Rigidities and Asset Pricing29 cited