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The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment
16 references·16 citing·33 second hopsampled
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The Cross Section of Foreign Currency Ris…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…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…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Common 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…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Share of Systematic Variation in Bilateral Exchange Rates (2017)The Share of Systematic Varia…Exchange Rate Disconnect in General Equilibrium (2017)Exchange Rate Disconnect in G…Volatility risk premia and exchange rate predictability (2016)Volatility risk premia and ex…Local Currency Sovereign Risk (2016)Local Currency Sovereign RiskCurrency Premia and Global Imbalances (2016)Currency Premia and Global Im…Rare Disasters and Exchange Rates * (2015)Rare Disasters and Exchange R…Conditional risk premia in currency markets and other asset classes (2014)Conditional risk premia in cu…Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)Liquidity in the Foreign Exch…Macroeconomic Determinants of Carry Trade Activity (2012)Macroeconomic Determinants of…Risks for the Long Run and the Real Exchange Rate (2011)Risks for the Long Run and th…Carry Trade and Momentum in Currency Markets (2011)Carry Trade and Momentum in C…Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Infrequent Portfolio Decision…Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium (2009)Time-Varying Risk, Interest R…Country Size, Currency Unions, and International Asset Returns (2009)Country Size, Currency Unions…An Economic Evaluation of Empirical Exchange Rate Models (2008)An Economic Evaluation of Emp…The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (2006)The Cross-Section of Foreign …Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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 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 Behavior of Stock-Market Prices (1965)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)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)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 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
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1984Forward and spot exchange rates

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2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
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    • 2008An Economic Evaluation of Empirical Exchange Rate Models265 cited
    • 2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk265 cited
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    • 2016Local Currency Sovereign Risk214 cited
    • 2012Macroeconomic Determinants of Carry Trade Activity211 cited
    • 2017Exchange Rate Disconnect in General Equilibrium211 cited
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    • 2016Volatility risk premia and exchange rate predictability192 cited
    • 2009Country Size, Currency Unions, and International Asset Returns185 cited