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Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance
16 references·10 citing·41 second hop
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this work references cited by second hop

References

  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 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
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987

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The Information in Long-Maturity Forward Rates
1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • Cited by

    • 2011Rare Macroeconomic Disasters52 cited
    • 2014Asset Pricing with Countercyclical Household Consumption Risk48 cited
    • 2011Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity45 cited
    • 2012A Model of Shadow Banking36 cited
    • 2012Exchange Rates in a Stochastic Discount Factor Framework32 cited
    • 2016Credit Expansion and Neglected Crash Risk32 cited
    • 2011The Variance Risk Premium Around the World29 cited
    • 2013Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR29 cited
    • 2010Optimal fiscal and monetary policies in the face of rare disasters17 cited
    • 2015Ambiguity in Mind: Modeling Working-Memory Limits and Belief Quantization Under Uncertainty0 cited