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Volatility, the Macroeconomy and Asset Prices
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Volatility, the Macroeconomy and Asset Prices (2012)Volatility, the Macroeconomy and Asset Pr…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Consumption, Dividends, and the Cross Section of Equity Returns (2005)Consumption, Dividends, and t…Expected Option Returns (2001)Expected Option ReturnsConsumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Understanding Risk and Return (1993)Understanding Risk and ReturnIntertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Stochastic Volatility and Asset Pricing Puzzles (2018)Stochastic Volatility and Ass…What Is the Expected Return on the Market? (2016)What Is the Expected Return o…Learning about Rare Disasters: Implications For Consumption and Asset Prices (2014)Learning about Rare Disasters…Composition of wealth, conditioning information, and the cross-section of stock returns (2013)Composition of wealth, condit…Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Ambiguous Volatility and Asse…A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence (2012)A New Asset Pricing Model Bas…Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns (2010)Composition of Wealth, Condit…Consumption Volatility Risk (2009)Consumption Volatility RiskAsset 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)Optimal Investment, Growth Options, and Security Returns (1998)The Economics and Psychology of Personality Traits (2008)Expected Stock Returns and Variance Risk Premia (2009)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 (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)… and the Cross-Section of Expected Returns (2015)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)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)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)The short of it: Investor sentiment and anomalies (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)
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753 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited
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    • 2013Ambiguous Volatility and Asset Pricing in Continuous Time54 cited
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    • 2018Stochastic Volatility and Asset Pricing Puzzles44 cited
    • 2013Composition of wealth, conditioning information, and the cross-section of stock returns37 cited
    • 2016What Is the Expected Return on the Market?30 cited
    • 2009Consumption Volatility Risk27 cited
    • 2010Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns26 cited
    • 2012A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence25 cited