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An estimation of economic models with recursive preferences
16 references·16 citing·35 second hopsampled
An estimation of economic models with recursive preferences (2013)An estimation of economic models with rec…Handbook of the Economics of Finance (2013)Handbook of the Economics of …Bad Beta, Good Beta (2004)Bad Beta, Good BetaResurrecting 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…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Understanding Risk and Return (1993)Understanding Risk and ReturnCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …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…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …How the Wealth Was Won: Factor Shares as Market Fundamentals (2024)How the Wealth Was Won: Facto…The Cross-Section of Household Preferences (2022)The Cross-Section of Househol…How the Wealth Was Won: Factor Shares as Market Fundamentals (2019)How the Wealth Was Won: Facto…Consumption Uncertainty and Precautionary Saving (2019)Consumption Uncertainty and P…Capital Share Risk in U.S. Asset Pricing (2019)Capital Share Risk in U.S. As…Does Smooth Ambiguity Matter for Asset Pricing? 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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies

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1,182 cited
  • 2004Bad Beta, Good Beta1,167 cited
  • Cited by

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    • 2014Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility62 cited
    • 2019Consumption Uncertainty and Precautionary Saving55 cited
    • 2015Asset pricing with financial bubble risk45 cited
    • 2015Subjective Intertemporal Substitution39 cited
    • 2019How the Wealth Was Won: Factor Shares as Market Fundamentals34 cited
    • 2024How the Wealth Was Won: Factor Shares as Market Fundamentals28 cited
    • 2014Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment28 cited
    • 2017Real exchange rate variability in a two-country business cycle model26 cited
    • 2018Does Smooth Ambiguity Matter for Asset Pricing?26 cited
    • 2014Counter-cyclical risk aversion24 cited
    • 2014Shocks and Crashes17 cited
    • 2022The Cross-Section of Household Preferences17 cited