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Affine General Equilibrium Models
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Affine General Equilibrium Models (2008)Affine General Equilibrium ModelsTransform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…How Important Are Inflation Expectations for the Nominal Yield Curve? (2020)How Important Are Inflation E…Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options (2019)Idiosyncratic Jump Risk Matte…Durable Goods, Inflation Risk, and Equilibrium Asset Prices (2015)Durable Goods, Inflation Risk…Interest Rate Risk and the Cross Section of Stock Returns (2014)Interest Rate Risk and the Cr…Consumption Volatility and the Cross-Section of Stock Returns (2014)Consumption Volatility and th…Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty (2013)Risk Premium, Variance Premiu…Macroeconomic Drivers of Bond and Equity Risks (2013)Macroeconomic Drivers of Bond…Understanding Asset Correlations (2012)Understanding Asset Correlati…The “out-of-sample” performance of long run risk models (2012)The “out-of-sample” performan…Stocks, Bonds, and Long-Run Consumption Risks (2012)Stocks, Bonds, and Long-Run C…Consumption-Based Asset Pricing with Higher Cumulants (2012)Consumption-Based Asset Prici…An Intertemporal CAPM with Stochastic Volatility (2012)An Intertemporal CAPM with St…Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2010)Explaining Asset Pricing Puzz…Econometric Asset Pricing Modelling (2008)Econometric Asset Pricing Mod…Long-Run Risks and Financial Markets (2007)Long-Run Risks and Financial …Asset 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)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)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The equity premium: A puzzle (1985)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)… and the Cross-Section of Expected Returns (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Theory of rational option pricing (2005)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1977An equilibrium characterization of the term structure6,104 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
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory

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1,822 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • Cited by

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    • 2019Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options81 cited
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    • 2015Durable Goods, Inflation Risk, and Equilibrium Asset Prices55 cited
    • 2008Econometric Asset Pricing Modelling51 cited
    • 2007Long-Run Risks and Financial Markets51 cited
    • 2013Macroeconomic Drivers of Bond and Equity Risks51 cited
    • 2014Consumption Volatility and the Cross-Section of Stock Returns50 cited
    • 2013Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty44 cited
    • 2012An Intertemporal CAPM with Stochastic Volatility39 cited
    • 2020How Important Are Inflation Expectations for the Nominal Yield Curve?34 cited
    • 2012Understanding Asset Correlations30 cited