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Estimation and Evaluation of Conditional Asset Pricing Models
16 references·16 citing·32 second hopsampled
Estimation and Evaluation of Conditional Asset Pricing Models (2011)Estimation and Evaluation of Conditional …A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The conditional CAPM does not…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)Higher Order Properties of Gm…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Long‐Run Risk: Is It There? (2022)Long‐Run Risk: Is It There?Factor Timing (2020)Factor TimingMeasuring “Dark Matter” in Asset Pricing Models (2019)Measuring “Dark Matter” in As…Leverage and the Cross‐Section of Equity Returns (2019)Leverage and the Cross‐Sectio…Characteristic-Sorted Portfolios: Estimation and Inference (2019)Characteristic-Sorted Portfol…New Evidence on Conditional Factor Models (2018)New Evidence on Conditional F…“Lucas” in the Laboratory (2016)“Lucas” in the LaboratoryRegression-based estimation of dynamic asset pricing models (2015)Regression-based estimation o…Empirical Cross-Sectional Asset Pricing (2013)Empirical Cross-Sectional Ass…Asset Pricing Without Garbage (2013)Asset Pricing Without GarbageAdvances in Consumption-Based Asset Pricing: Empirical Tests (2013)Advances in Consumption-Based…A Supply Approach to Valuation (2013)A Supply Approach to ValuationCommodity Trade and the Carry Trade: A Tale of Two Countries (2012)Commodity Trade and the Carry…Chi-squared tests for evaluation and comparison of asset pricing models (2012)Chi-squared tests for evaluat…Testing conditional factor models: A nonparametric approach (2011)Testing conditional factor mo…Estimation of Jump Tails (2011)Estimation of Jump TailsModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)GMM Estimation of Empirical Growth Models (2001)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)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)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model1,023 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 2006The conditional CAPM does not explain asset-pricing anomalies☆931 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited

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  • 2003Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators806 cited
  • Cited by

    • 2011Estimation of Jump Tails135 cited
    • 2013Advances in Consumption-Based Asset Pricing: Empirical Tests107 cited
    • 2013Asset Pricing Without Garbage106 cited
    • 2020Factor Timing99 cited
    • 2015Regression-based estimation of dynamic asset pricing models91 cited
    • 2012Commodity Trade and the Carry Trade: A Tale of Two Countries82 cited
    • 2013Empirical Cross-Sectional Asset Pricing65 cited
    • 2019Leverage and the Cross‐Section of Equity Returns64 cited
    • 2012Chi-squared tests for evaluation and comparison of asset pricing models62 cited
    • 2018New Evidence on Conditional Factor Models62 cited
    • 2011Testing conditional factor models: A nonparametric approach56 cited
    • 2016“Lucas” in the Laboratory56 cited
    • 2019Measuring “Dark Matter” in Asset Pricing Models51 cited
    • 2022Long‐Run Risk: Is It There?50 cited
    • 2013A Supply Approach to Valuation50 cited
    • 2019Characteristic-Sorted Portfolios: Estimation and Inference49 cited