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Measuring 'Dark Matter' in Asset Pricing Models
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Measuring 'Dark Matter' in Asset Pricing Models (2013)Measuring 'Dark Matter' in Asset Pricing …Expectations of Returns and Expected Returns (2014)Expectations of Returns and E…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…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…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The equity risk premium a solution (1988)The equity risk premium a sol…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …A model of investor sentiment /A model of investor sentiment…Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)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)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Asset Pricing via Machine Learning (2020)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Judgment under Uncertainty: Heuristics and Biases (1975)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)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

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2014Expectations of Returns and Expected Returns1,187 cited

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  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
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