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The equity premium and the risk-free rate
16 references·16 citing·35 second hopsampled
The equity premium and the risk-free rate (1993)The equity premium and the risk-free rateSimulation estimation of time-series models (1991)Simulation estimation of time…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…The Consumption of Stockholders and Non-Stockholders (1990)The Consumption of Stockholde…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The equity risk premium a solution (1988)The equity risk premium a sol…THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The equity premium and the concentration of aggregate shocks (1986)The equity premium and the co…The equity premium: A puzzle (1985)The equity premium: A puzzleTime to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…House price dynamics: Fundamentals and expectations (2015)House price dynamics: Fundame…Consumption-Based Asset Pricing with Higher Cumulants (2012)Consumption-Based Asset Prici…Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices (2010)Generalized Disappointment Av…The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2008)The Aggregate Dynamics of Cap…Predictable returns and asset allocation: Should a skeptical investor time the market? (2008)Predictable returns and asset…The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2007)The Levered Equity Risk Premi…Rational Pessimism, Rational Exuberance, and Asset Pricing Models (2007)Rational Pessimism, Rational …Indirect inference and calibration of dynamic stochastic general equilibrium models (2006)Indirect inference and calibr…State-dependent preferences can explain the equity premium puzzle (2003)State-dependent preferences c…Empirical assessment of an intertemporal option pricing model with latent variables (2003)Empirical assessment of an in…Robustness and Pricing with Uncertain Growth (2002)Robustness and Pricing with U…Structural Breaks, Incomplete Information, and Stock Prices (2001)Structural Breaks, Incomplete…Stock price volatility and equity premium (2001)Stock price volatility and eq…Computational Methods for the Study of Dynamic Economies (2001)Computational Methods for the…Solving asset pricing models with Gaussian shocks (1998)Solving asset pricing models …The implications of first-order risk aversion for asset market risk premiums (1997)The implications of first-ord…Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Short- Term Interest Rates as Predictors of Inflation (2021)An Intertemporal Capital Asset Pricing Model (1973)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)Equity Portfolio Diversification (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Debt, Deficits, and Finite Horizons (1985)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Prospect Theory and Asset Prices (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1988The equity risk premium a solution1,397 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1990The Consumption of Stockholders and Non-Stockholders1,289 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 1980The Determinants of the Variability of Stock Market Prices511 cited
  • 1986The equity premium and the concentration of aggregate shocks436 cited
  • 1991

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Simulation estimation of time-series models
395 cited

Cited by

  • 2001Stock price volatility and equity premium298 cited
  • 2002Robustness and Pricing with Uncertain Growth207 cited
  • 2012Consumption-Based Asset Pricing with Higher Cumulants177 cited
  • 2001Structural Breaks, Incomplete Information, and Stock Prices173 cited
  • 2001Computational Methods for the Study of Dynamic Economies169 cited
  • 1997The implications of first-order risk aversion for asset market risk premiums159 cited
  • 2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models147 cited
  • 2006Indirect inference and calibration of dynamic stochastic general equilibrium models133 cited
  • 2008Predictable returns and asset allocation: Should a skeptical investor time the market?131 cited
  • 2003Empirical assessment of an intertemporal option pricing model with latent variables124 cited
  • 2007The Levered Equity Risk Premium and Credit Spreads: A Unified Framework123 cited
  • 2015House price dynamics: Fundamentals and expectations113 cited
  • 1998Solving asset pricing models with Gaussian shocks112 cited
  • 2010Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices111 cited
  • 2003State-dependent preferences can explain the equity premium puzzle98 cited
  • 2008The Aggregate Dynamics of Capital Structure and Macroeconomic Risk97 cited