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Mean Reversion and Consumption Smoothing
16 references·6 citing·38 second hop
Mean Reversion and Consumption Smoothing (1990)Mean Reversion and Consumption SmoothingHabit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…Consumption and Liquidity Constraints: An Empirical Investigation (1989)Consumption and Liquidity Con…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesIntertemporal Substitution in Consumption (1988)Intertemporal Substitution in…Theory ahead of business-cycle measurement (1986)Theory ahead of business-cycl…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…The equity premium: A puzzle (1985)The equity premium: A puzzleStochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …On estimating the expected return on the market (1980)On estimating the expected re…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Market Efficiency for the Pakistan Stock Market (2006)Market Efficiency for the Pak…Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility (2005)Risk preferences in multi-per…External Habit and the Cyclicality of Expected Stock Returns (2005)External Habit and the Cyclic…The calendar structure of risk and expected returns on stocks and bonds (2003)The calendar structure of ris…Persistence in the Indian Stock Market Returns: An Application of Variance Ratio Test (1998)Persistence in the Indian Sto…Equilibrium Exchange Rate Hedging (1989)Equilibrium Exchange Rate Hed…Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)Credit Rationing in Markets with Imperfect Information (1981)Golden Eggs and Hyperbolic Discounting (1997)The analysis of household surveys (1997)Econometric Analysis of Cross Section and Panel Data (2001)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1986Theory ahead of business-cycle measurement1,663 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited

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1986
Does the Stock Market Rationally Reflect Fundamental Values?
1,149 cited

Cited by

  • 2005Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility49 cited
  • 2005External Habit and the Cyclicality of Expected Stock Returns41 cited
  • 2006Market Efficiency for the Pakistan Stock Market30 cited
  • 2003The calendar structure of risk and expected returns on stocks and bonds28 cited
  • 1989Equilibrium Exchange Rate Hedging26 cited
  • 1998Persistence in the Indian Stock Market Returns: An Application of Variance Ratio Test20 cited