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The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
16 references·16 citing·41 second hopsampled
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(1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)The General Theory of Employment, Interest and Money. 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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1999Predictive regressions1,614 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

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1,521 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • Cited by

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    • 2017Uncertainty Shocks and Balance Sheet Recessions159 cited
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    • 2011Asset Pricing Tests with Long-run Risks in Consumption Growth129 cited
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