SEARCH

SEARCH BY CITATION

REFERENCES

  • Adrian, Tobias, and Francesco Franzoni, 2002, Learning about beta: An explanation of the value premium, Working paper, MIT .
  • Ang, Andrew, and Joseph Chen, 2005, CAPM over the long run: 1926–2001, Journal of Empirical Finance 60, 16391672.
  • Ang, Andrew, and Jun Liu, 2004, How to discount cash flows with time-varying expected returns, Journal of Finance 59, 27452783.
  • Ang, Andrew, and Monika Piazzesi, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics 50, 745787.
  • Bakshi, Gurdip S., and Zhiwu Chen, 1996, Inflation, asset prices, and the term structure of interest rates in a monetary economy, Review of Financial Studies 9, 241275.
  • Ball, R., 1978, Anomolies in relationships between securities' yields and yield-surrogates, Journal of Financial Economics 6, 103126.
  • Bansal, Ravi, Robert F. Dittmar, and Christian T. Lundblad, 2005, Consumption, dividends, and the cross-section of equity returns, Journal of Finance (forthcoming).
  • Bansal, Ravi, and Amir Yaron, 2004, Risks for the long-run: A potential resolution of asset pricing puzzles, Journal of Finance 59, 14811509.
  • Basu, Sanjoy, 1977, The investment performance of common stocks in relation to their price to earnings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663682.
  • Basu, Sanjoy, 1983, The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129156.
  • Bekaert, Geert, Eric Engstrom, and Steve Grenadier, 2004, Stock and bond returns with moody investors, Working paper, Columbia University, Stanford University, and University of Michigan .
  • Berk, Jonathan B., Richard C. Green, and Vasant Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54, 15531607.
  • Berk, Jonathan B., Richard C. Green, and Vasant Naik, 2004, Valuation and return dynamics of new ventures, Review of Financial Studies 17, 135.
  • Boudoukh, Jacob, Roni Michaely, Matthew Richardson, and Michael Roberts, 2007, On the importance of measuring payout yield: Implications for empirical asset pricing, Journal of Finance 63 (forthcoming).
  • Brennan, Michael J., Ashley W. Wang, and Yihong Xia, 2004, Estimation and test of a simple model of intertemporal asset pricing, Journal of Finance 59, 17431775.
  • Brennan, Michael J., and Yihong Xia, 2006, Risk and valuation under an intertemporal capital asset pricing model, Journal of Business 79, 135.
  • Campbell, John Y., 1991, A variance decomposition for stock returns, Economic Journal 101, 157179.
  • Campbell, John Y., 1999, Asset prices, consumption, and the business cycle, in J. B.Taylor and M.Woodford, eds.: Handbook of Macroeconomics, Volume I (North-Holland, Amsterdam ).
  • Campbell, John Y., and John H. Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205251.
  • Campbell, John Y., and Jianping Mei, 1993, Where do betas come from? Asset pricing dynamics and the sources of systematic risk, Review of Financial Studies 6, 567592.
  • Campbell, John Y., Christopher Polk, and Tuomo Vuolteenaho, 2003, Growth or glamour? Working paper, Harvard University and Northwestern University .
  • Campbell, John Y., and Robert J. Shiller, 1988, The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies 58, 495514.
  • Campbell, John Y., and Tuomo Vuolteenaho, 2004, Bad beta, good beta, American Economic Review 94, 12491275.
  • Cochrane, John H., 1992, Explaining the variance of price-dividend ratios, Review of Financial Studies 5, 243280.
  • Cochrane, John H., 1999, New facts in finance, Economic Perspectives Federal Reserve Bank of Chicago 23, 5978.
  • Cohen, Randolph B., Christopher Polk, and Tuomo Vuolteenaho, 2003, The price is (almost) right, Working paper, Harvard University and Northwestern University .
  • Cornell, Bradford, 1999, Risk, duration, and capital budgeting: New evidence on some old questions, Journal of Business 72, 183200.
  • Dai, Qiang, and Kenneth Singleton, 2003, Term structure dynamics in theory and reality, Review of Financial Studies 16, 631678.
  • Dechow, Patricia M., Richard G. Sloan, and Mark T. Soliman, 2004, Implied equity duration: A new measure of equity risk, Review of Accounting Studies 9, 197228.
  • Duffee, Gregory R., 2002, Term premia and interest rate forecasts in affine models, Journal of Finance 57, 369443.
  • Duffie, Darrell, and Rui Kan, 1996, A yield-factor model of interest rates, Mathematical Finance 6, 379406.
  • Fama, Eugene F., and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 29, 2349.
  • Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected returns, Journal of Finance 47, 427465.
  • Gomes, Joao, Leonid Kogan, and Lu Zhang, 2003, Equilibrium cross section of returns, Journal of Political Economy 111, 693732.
  • Graham, Benjamin, and David L. Dodd, 1934, Security Analysis (McGraw Hill, New York ).
  • Hansen, Lars Peter, John C. Heaton, and Nan Li, 2004, Consumption strikes back, Working paper, University of Chicago .
  • Jaffe, Jeffrey, Donald B. Keim, and Randolph Westerfield, 1989, Earnings yields, market values, and stock returns, The Journal of Finance 44, 134148.
  • Jagannathan, Ravi, and Zhenyu Wang, 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 354.
  • Johnson, Timothy C., 2002, Rational momentum effects, Journal of Finance 57, 585608.
  • Keim, Donald B., and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Econometrics 17, 357390.
  • Leibowitz, Martin L., and Stanley Kogelman, 1993, Resolving the equity duration paradox, Financial Analysts Journal January–February, 5164.
  • Lettau, Martin, and Sydney C. Ludvigson, 2001a, Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying, Journal of Political Economy 109, 12381287.
  • Lettau, Martin, and Sydney C. Ludvingson, 2001b, Consumption, aggregate wealth and expected stock returns, Journal of Finance 56, 815850.
  • Lettau, Martin, and Sydney C. Ludvigson, 2005, Expected returns and expected dividend growth, Journal of Financial Economics 76, 583626.
  • Lettau, Martin, and Jessica A. Wachter, 2005, Why is long-horizon equity less risky? A duration-based explanation of the value premium, NBER working paper # 11144.
  • Lewellen, Jonathan, and Jay Shanken, 2002, Learning, asset-pricing tests, and market efficiency, Journal of Finance 57, 11131145.
  • Liew, Jimmy, and Maria Vassalou, 2000, Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics 57, 221245.
  • Lintner, John, 1965, Security prices, risk and maximal gains from diversification, Journal of Finance 20, 587615.
  • Lustig, Hanno, and Stijn Van Nieuwerburgh, 2005, Housing collateral, consumption insurance and risk premia: An empirical perspective, Journal of Finance 60, 11671219.
  • Lynch, Anthony W., 2003, Portfolio choice with many risky assets, market clearing, and cash-flow predictability, Working paper, New York University .
  • Menzly, Lior, Tano Santos, and Pietro Veronesi, 2004, Understanding predictability, Journal of Political Economy 112, 147.
  • Newey, Whitney, and Kenneth West, 1987, A simple, positive-definite, heteroskedastic and auto-correlation consistent covariance matrix, Econometrica 55, 703708.
  • Parker, Jonathan A., and Christian Julliard, 2005, Consumption risk and the cross section of expected returns, Journal of Political Economy 113, 185222.
  • Petkova, Ralitsa, and Lu Zhang, 2005, Is value riskier than growth? Journal of Financial Economics 78, 187202.
  • Piazzesi, Monika, Martin Schneider, and Selale Tuzel, 2005, Housing, consumption, and asset pricing, Journal of Financial Economics (forthcoming).
  • Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 917.
  • Santos, Tano, and Pietro Veronesi, 2004, Conditional betas, Working paper, Columbia University and University of Chicago .
  • Santos, Tano, and Pietro Veronesi, 2006, Labor income and predictable stock returns, Review of Financial Studies 19, 144.
  • Sharpe, W., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425444.
  • Vassalou, Maria, 2003, News related to future GDP growth as a risk factor in equity returns, Journal of Financial Economics 68, 4773.
  • Vuolteenaho, Tuomo, 2002, What drives firm-level stock returns? Journal of Finance 57, 233264.
  • Wachter, Jessica A., 2006, A consumption-based model of the term structure of interest rates, Journal of Financial Economics 79, 365399.
  • Wilson, Mungo, 2003, A model of demand for dividend strips, Working paper, Harvard University .
  • Yogo, Motohiro, 2005, A consumption-based explanation of the cross section of expected stock returns, Journal of Finance 61, 539580.
  • Zhang, Lu, 2005, The value premium, Journal of Finance 60, 67103.