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Martin Lettau

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Martin Lettau & Sydney C. Ludvigson & Paulo Manoel, 2018. "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," NBER Working Papers 25381, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Monitoring the Monitors
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2019-11-11 12:47:22
  2. Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.

    Mentioned in:

    1. US consumers: a wise crowd
      by chris dillow in Stumbling and Mumbling on 2007-09-19 14:42:39

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.

    Mentioned in:

    1. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (JF 2001) in ReplicationWiki ()
  2. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.

    Mentioned in:

    1. Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying (JPE 2001) in ReplicationWiki ()
  3. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.

    Mentioned in:

    1. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (AER 2004) in ReplicationWiki ()

Working papers

  1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022. "Idiosyncratic Equity Risk Two Decades Later," NBER Working Papers 29916, National Bureau of Economic Research, Inc.

    Cited by:

    1. Eduardo Dávila & Cecilia Parlatore, 2019. "Volatility and Informativeness," NBER Working Papers 25433, National Bureau of Economic Research, Inc.
    2. He, Feng & Liu, Guanchun & Hao, Jing & Li, Youwei, 2023. "CSR performance and firm idiosyncratic risk in a data-rich environment: The role of retail investor attention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    3. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Papers 2306.14004, arXiv.org, revised May 2024.

  2. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.

    Cited by:

    1. Andrea L. Eisfeldt & Antonio Falato & Mindy Z. Xiaolan, 2023. "Human Capitalists," NBER Macroeconomics Annual, University of Chicago Press, vol. 37(1), pages 1-61.
    2. Rafiq, Shuddhasattwa, 2022. "How did house and stock prices respond to different crisis episodes since the 1870s?," Economic Modelling, Elsevier, vol. 114(C).
    3. Leila Davis & Shane McCormack, 2021. "Industrial stagnation and the financialization of nonfinancial corporations," Review of Evolutionary Political Economy, Springer, vol. 2(3), pages 459-491, December.
    4. ADACHI Daisuke & SAITO Yukiko, 2020. "Multinational Production and Labor Share," Discussion papers 20012, Research Institute of Economy, Trade and Industry (RIETI).
    5. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    6. Robert N. Mefford, 2023. "The Covid-19 Pandemic and the Productivity Paradox," Journal of Behavioral Economics for Policy, Society for the Advancement of Behavioral Economics (SABE), vol. 7(1), pages 11-18, November.
    7. Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
    8. Luis Bauluz & Filip Novokmet & Moritz Schularick, 2022. "The Anatomy of the Global Saving Glut," CESifo Working Paper Series 9732, CESifo.
    9. Josue Cox & Daniel L. Greenwald & Sydney C. Ludvigson, 2020. "What Explains the COVID-19 Stock Market?," NBER Working Papers 27784, National Bureau of Economic Research, Inc.
    10. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
    11. Panageas, Stavros, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
    12. Isabel Cairó & Jae W. Sim, 2020. "Market Power, Inequality, and Financial Instability," Finance and Economics Discussion Series 2020-057, Board of Governors of the Federal Reserve System (U.S.).
    13. Juan M. Morelli, 2021. "Limited Participation in Equity Markets and Business Cycles," Finance and Economics Discussion Series 2021-026, Board of Governors of the Federal Reserve System (U.S.).
    14. Benjamin Knox & Annette Vissing-Jorgensen, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014, Board of Governors of the Federal Reserve System (U.S.).
    15. Ren, Zhaomin & Zhang, Xuan & Zhang, Zhekai, 2021. "New evidence on COVID-19 and firm performance," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 213-225.
    16. Meyer, Timothy Andreas, 2024. "Asset price changes, external wealth and global welfare," Kiel Working Papers 2264, Kiel Institute for the World Economy (IfW Kiel).

  3. Lettau, Martin & Madhavan, Ananth, 2018. "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers 12629, C.E.P.R. Discussion Papers.

    Cited by:

    1. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
    2. John Duffy & Jean Paul Rabanal & Olga A. Rud, 2019. "The Impact of ETFs on Asset Markets: Experimental Evidence," Working Papers 154, Peruvian Economic Association.
    3. Damien KUNJAL, 2023. "The Role of Investor Attention in ETF Liquidity," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 45-64.
    4. Marszk, Adam & Lechman, Ewa, 2024. "What drives sustainable investing? Adoption determinants of sustainable investing exchange-traded funds in Europe," Structural Change and Economic Dynamics, Elsevier, vol. 69(C), pages 63-82.
    5. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
    6. Mattia Guerini & Mauro Napoletano & Claudio Barbieri, 2024. "The anatomy of government bond yields synchronization in the Eurozone," SciencePo Working papers Main hal-04530954, HAL.
    7. Wen, Zhuzhu & Gong, Xu & Ma, Diandian & Xu, Yahua, 2021. "Intraday momentum and return predictability: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 95(C), pages 374-384.
    8. Schmeling, Maik, 2019. "What is Libra? Understanding Facebook's currency," SAFE Policy Letters 76, Leibniz Institute for Financial Research SAFE.
    9. Elias Cavalcante Junior & Fernando Moraes & Rodrigo De Losso, 2020. "Unskilled Fund Managers: Replicating Active Fund Performance With Few ETFs," Working Papers, Department of Economics 2020_14, University of São Paulo (FEA-USP), revised 15 Sep 2020.
    10. Wu, Weili & Zhu, Feifei, 2023. "ETF ownership and informational efficiency of underlying stocks: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    11. Saæglam, Mehmet & Tuzun, Tugkan & Wermers, Russ, 2021. "Do ETFs increase liquidity?," CFR Working Papers 21-03, University of Cologne, Centre for Financial Research (CFR).
    12. Stefania D'Amico & Vamsi Kurakula & Stephen M. Lee, 2020. "Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX," Working Paper Series WP-2020-14, Federal Reserve Bank of Chicago.
    13. Oberrauch, Luis & Kaiser, Tim, 2024. "Digital Interventions to Increase Financial Knowledge: Evidence from a Pilot RCT," IZA Discussion Papers 16811, Institute of Labor Economics (IZA).
    14. Chinco, Alex & Sammon, Marco, 2024. "The passive ownership share is double what you think it is," Journal of Financial Economics, Elsevier, vol. 157(C).
    15. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    16. Marszk, Adam & Lechman, Ewa, 2021. "Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    17. Yuewen Xiao & Xiangkang Yin & Jing Zhao, 2020. "Jumps, News, And Subsequent Return Dynamics: An Intraday Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 705-731, August.
    18. Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2023. "Non-bank financial intermediaries and financial stability," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 7, pages 147-170, Edward Elgar Publishing.
    19. Luca J. Liebi, 2020. "The effect of ETFs on financial markets: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 165-178, June.
    20. John J Shim & Karamfil Todorov, 2021. "ETFs, illiquid assets, and fire sales," BIS Working Papers 975, Bank for International Settlements.
    21. Luis Oberrauch & Tim Kaiser, 2024. "Financial Education or Incentivizing Learning-by-Doing? Evidence from an RCT with Undergraduate Students," CESifo Working Paper Series 11187, CESifo.
    22. Lawrence Glosten & Suresh Nallareddy & Yuan Zou, 2021. "ETF Activity and Informational Efficiency of Underlying Securities," Management Science, INFORMS, vol. 67(1), pages 22-47, January.
    23. Karin Martín-Bujack & Isabel Figuerola-Ferretti & Teresa Corzo & Ioannis Paraskevopoulos, 2022. "Building Knowledge in the Oil Market," SAGE Open, , vol. 12(1), pages 21582440211, January.
    24. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2021. "The impact of ETFs in secondary asset markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 674-696.
    25. Kanamura, Takashi, 2021. "Risk Mitigation and Return Resilience for High Yield Bond ETFs with ESG Components," Finance Research Letters, Elsevier, vol. 41(C).
    26. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
    27. Xu, Liao & Gao, Han & Shi, Yukun & Zhao, Yang, 2020. "The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 400-408.
    28. Sangyup Choi & Gabriele Ciminelli & Davide Furceri, 2022. "Is Domestic Uncertainty a Local Pull Factor Driving Foreign Capital Inflows? New Cross-Country Evidence," CAMA Working Papers 2022-64, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Valadkhani, Abbas & Moradi-Motlagh, Amir, 2023. "An empirical analysis of exchange-traded funds in the US," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 995-1009.
    30. Pagano, Marco & Sánchez Serrano, Antonio & Zechner, Jozef, 2019. "Can ETFs contribute to systemic risk?," Report of the Advisory Scientific Committee 9, European Systemic Risk Board.
    31. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    32. Russell J. Lundholm, 2021. "FSA in an ETF world," Review of Accounting Studies, Springer, vol. 26(4), pages 1428-1455, December.
    33. Atilgan, Yigit & Demirtas, K. Ozgur & Gunaydin, A. Doruk & Oztekin, Mustafa, 2024. "Performance implications of hedging with industry ETFs," Global Finance Journal, Elsevier, vol. 61(C).
    34. Dumitrescu, Ariadna & Järvinen, Jesse & Zakriya, Mohammed, 2023. "Hidden Gem or Fool’s Gold: Can passive ESG ETFs outperform the benchmarks?," International Review of Financial Analysis, Elsevier, vol. 86(C).
    35. Marszk, Adam & Lechman, Ewa, 2019. "New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies," Journal of Macroeconomics, Elsevier, vol. 62(C).
    36. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    37. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    38. Elroi Hadad & Davinder Malhotra & Srinivas Nippani, 2024. "Trading commodity ETFs: Price behavior, investment insights, and performance analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1257-1276, July.
    39. Jegadeesh, Narasimhan & Wu, Yanbin, 2022. "Closing auctions: Nasdaq versus NYSE," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1120-1139.
    40. Xu, Liao & Yin, Xiangkang & Zhao, Jing, 2019. "The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).

  4. Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo, 2018. "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," CEPR Discussion Papers 13395, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fays, Boris & Papageorgiou, Nicolas & Lambert, Marie, 2021. "Risk optimizations on basis portfolios: The role of sorting," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 136-163.
    2. Patton, Andrew J. & Weller, Brian M., 2020. "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, vol. 137(2), pages 515-549.
    3. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    4. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    5. Chowdhury, Md Iftekhar Hasan & Balli, Faruk & de Bruin, Anne, 2024. "Investment styles of islamic equity funds," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 172-187.
    6. Peng, Cameron & Wang, Chen, 2021. "Factor demand and factor returns," LSE Research Online Documents on Economics 118884, London School of Economics and Political Science, LSE Library.

  5. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
    3. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
    4. Bengtsson, Erik, 2023. "The politics of profits: Profit squeeze and political-economic change in Sweden, 1975–1985," Lund Papers in Economic History 250, Lund University, Department of Economic History.
    5. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
    6. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    7. Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
    8. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
    9. Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
    10. Cheng, Hang & Guo, Hui & Shi, Yongdong, 2024. "Multifactor conditional equity premium model: Evidence from China's stock market," Journal of Banking & Finance, Elsevier, vol. 161(C).
    11. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    12. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    13. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    14. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
    15. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.
    16. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.

  6. Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.

    Cited by:

    1. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2023. "Machine learning goes global: Cross-sectional return predictability in international stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    2. Jushan Bai & Serena Ng, 2021. "Approximate Factor Models with Weaker Loadings," Papers 2109.03773, arXiv.org, revised Mar 2023.
    3. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2021. "Measurement of factor strength: Theory and practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 587-613, August.
    4. Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021. "Deep Learning Statistical Arbitrage," Papers 2106.04028, arXiv.org, revised Oct 2022.
    5. Elizaveta V. Anufrieva, 2019. "Influence of Macroeconomic Factors on the Return of Russian Stock Exchange Indices," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 75-87, August.
    6. Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
    7. Chinco, Alex & Neuhierl, Andreas & Weber, Michael, 2021. "Estimating the anomaly base rate," Journal of Financial Economics, Elsevier, vol. 140(1), pages 101-126.
    8. Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
    9. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    10. Solène Collot & Tobias Hemauer, 2021. "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 77-100, March.
    11. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
    12. P. S. Morawakage & G. Earl & B. Liu & E. Roca & A. Omura, 2023. "Housing Risk and Returns in Submarkets with Spatial Dependence and Heterogeneity," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 695-734, November.
    13. Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," The Warwick Economics Research Paper Series (TWERPS) 1230, University of Warwick, Department of Economics.
    14. Xiaolu Wei & Hongbing Ouyang, 2023. "Forecasting Carbon Price Using Double Shrinkage Methods," IJERPH, MDPI, vol. 20(2), pages 1-20, January.
    15. Jorge Guijarro-Ordonez, 2019. "High-dimensional statistical arbitrage with factor models and stochastic control," Papers 1901.09309, arXiv.org, revised Jun 2021.
    16. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
    17. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
    18. Wan, Runzhe & Li, Yingying & Lu, Wenbin & Song, Rui, 2024. "Mining the factor zoo: Estimation of latent factor models with sufficient proxies," Journal of Econometrics, Elsevier, vol. 239(2).
    19. Stephen Boyd & Kasper Johansson & Ronald Kahn & Philipp Schiele & Thomas Schmelzer, 2024. "Markowitz Portfolio Construction at Seventy," Papers 2401.05080, arXiv.org.
    20. Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
    21. Ruoxuan Xiong & Markus Pelger, 2019. "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers 1910.08273, arXiv.org, revised Jan 2022.
    22. Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053r, Institute of Social and Economic Research, Osaka University, revised Mar 2020.
    23. Hyuksoo Kim & Saejoon Kim, 2024. "Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors," Mathematics, MDPI, vol. 12(21), pages 1-21, November.
    24. Kasper Johansson & Mehmet Giray Ogut & Markus Pelger & Thomas Schmelzer & Stephen Boyd, 2023. "A Simple Method for Predicting Covariance Matrices of Financial Returns," Papers 2305.19484, arXiv.org, revised Nov 2023.
    25. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
    26. Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
    27. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
    28. Amit K. Sinha, 2021. "The reliability of geometric Brownian motion forecasts of S&P500 index values," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1444-1462, December.
    29. Sun, Yang & Zhang, Xuan & Zhang, Zhekai, 2022. "The reduced-rank beta in linear stochastic discount factor models," International Review of Financial Analysis, Elsevier, vol. 84(C).
    30. Ding, Xiucai & Yang, Fan, 2022. "Edge statistics of large dimensional deformed rectangular matrices," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    31. M. Hashem Pesaran & Ron P. Smith, 2021. "Factor Strengths, Pricing Errors, and Estimation of Risk Premia," CESifo Working Paper Series 8947, CESifo.
    32. Jushan Bai & Serena Ng, 2017. "Principal Components and Regularized Estimation of Factor Models," Papers 1708.08137, arXiv.org, revised Nov 2017.
    33. Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2021. "Bilinear Input Normalization for Neural Networks in Financial Forecasting," Papers 2109.00983, arXiv.org.

  7. Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.

    Cited by:

    1. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
    2. Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023. "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, vol. 237(2).
    3. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2023. "Machine learning goes global: Cross-sectional return predictability in international stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    4. Vincent Tan & Stefan Zohren, 2020. "Estimation of Large Financial Covariances: A Cross-Validation Approach," Papers 2012.05757, arXiv.org, revised Jan 2023.
    5. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
    6. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    7. Son, Bumho & Lee, Jaewook, 2022. "Graph-based multi-factor asset pricing model," Finance Research Letters, Elsevier, vol. 44(C).
    8. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
    9. Solène Collot & Tobias Hemauer, 2021. "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 77-100, March.
    10. Andrew Detzel & Robert Novy‐Marx & Mihail Velikov, 2023. "Model Comparison with Transaction Costs," Journal of Finance, American Finance Association, vol. 78(3), pages 1743-1775, June.
    11. Lee, King Fuei, 2021. "An Anomaly within an Anomaly: The Halloween Effect in the Long-term Reversal Anomaly," MPRA Paper 110859, University Library of Munich, Germany.
    12. Gordon Dash & Nina Kajiji & Bruno G. Kamdem, 2024. "Asset Returns: Reimagining Generative ESG Indexes and Market Interconnectedness," JRFM, MDPI, vol. 17(10), pages 1-21, October.
    13. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
    14. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
    15. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    16. Andrew Y. Chen, 2019. "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series 2019-016, Board of Governors of the Federal Reserve System (U.S.).
    17. Rubesam, Alexandre, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Emerging Markets Review, Elsevier, vol. 51(PB).
    18. Chen, Andrew Y. & McCoy, Jack, 2024. "Missing values handling for machine learning portfolios," Journal of Financial Economics, Elsevier, vol. 155(C).
    19. Xiaolu Wei & Hongbing Ouyang, 2023. "Forecasting Carbon Price Using Double Shrinkage Methods," IJERPH, MDPI, vol. 20(2), pages 1-20, January.
    20. In Choi & Rui Lin & Yongcheol Shin, 2020. "Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers 2008, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    21. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
    22. Yu, Long & He, Yong & Kong, Xinbing & Zhang, Xinsheng, 2022. "Projected estimation for large-dimensional matrix factor models," Journal of Econometrics, Elsevier, vol. 229(1), pages 201-217.
    23. Eric Andr'e & Guillaume Coqueret, 2020. "Dirichlet policies for reinforced factor portfolios," Papers 2011.05381, arXiv.org, revised Jun 2021.
    24. Stephen Boyd & Kasper Johansson & Ronald Kahn & Philipp Schiele & Thomas Schmelzer, 2024. "Markowitz Portfolio Construction at Seventy," Papers 2401.05080, arXiv.org.
    25. Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
    26. Luyang Chen & Markus Pelger & Jason Zhu, 2019. "Deep Learning in Asset Pricing," Papers 1904.00745, arXiv.org, revised Aug 2021.
    27. Ruoxuan Xiong & Markus Pelger, 2019. "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers 1910.08273, arXiv.org, revised Jan 2022.
    28. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Nov 2024.
    29. Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 150(1), pages 94-138.
    30. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    31. Bagnara, Matteo, 2024. "The economic value of cross-predictability: A performance-based measure," SAFE Working Paper Series 424, Leibniz Institute for Financial Research SAFE.
    32. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    33. Yan, Jingda & Yu, Jialin, 2023. "Cross-stock momentum and factor momentum," Journal of Financial Economics, Elsevier, vol. 150(2).
    34. Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
    35. Kasper Johansson & Mehmet Giray Ogut & Markus Pelger & Thomas Schmelzer & Stephen Boyd, 2023. "A Simple Method for Predicting Covariance Matrices of Financial Returns," Papers 2305.19484, arXiv.org, revised Nov 2023.
    36. Feng, Guanhao & He, Jingyu, 2022. "Factor investing: A Bayesian hierarchical approach," Journal of Econometrics, Elsevier, vol. 230(1), pages 183-200.
    37. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    38. Andrew Y. Chen & Jack McCoy, 2022. "Missing Values Handling for Machine Learning Portfolios," Papers 2207.13071, arXiv.org, revised Jan 2024.
    39. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
    40. Bagnara, Matteo & Goodarzi, Milad, 2023. "Clustering-based sector investing," SAFE Working Paper Series 397, Leibniz Institute for Financial Research SAFE.
    41. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
    42. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    43. Shi, Qi, 2023. "The RP-PCA factors and stock return predictability: An aligned approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    44. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
    45. Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2024. "Currency portfolios and global foreign exchange ambiguity," Finance Research Letters, Elsevier, vol. 65(C).
    46. Breitung, Christian, 2023. "Automated stock picking using random forests," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 532-556.
    47. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).

  8. Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.

    Cited by:

    1. Grimm, Maximilian & Jordà , Òscar & Schularick, Moritz & Taylor, Alan M., 2023. "Loose monetary policy and financial instability," CEPR Discussion Papers 17896, C.E.P.R. Discussion Papers.
    2. Michael D. Bauer & Eric T. Swanson, 2022. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Chapters, in: NBER Macroeconomics Annual 2022, volume 37, pages 87-155, National Bureau of Economic Research, Inc.
    3. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
    4. Bianchi, Francesco & Gómez-Cram, Roberto & Kind, Thilo & Kung, Howard, 2023. "Threats to central bank independence: High-frequency identification with twitter," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 37-54.
    5. Li Lin & Didier Sornette, 2023. "The inverse Cox-Ingersoll-Ross process for parsimonious financial price modeling," Papers 2302.11423, arXiv.org, revised Jun 2023.
    6. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    7. Mohammad R. Jahan-Parvar & Yuriy Kitsul & Jamil Rahman & Beth Anne Wilson, 2024. "Foreign economic policy uncertainty and U.S. equity returns," International Finance Discussion Papers 1401, Board of Governors of the Federal Reserve System (U.S.).
    8. Jesús Fernández-Villaverde & Joël Marbet & Galo Nuño Barrau & Omar Rachedi, 2024. "Inequality and the zero lower bound," BIS Working Papers 1160, Bank for International Settlements.
    9. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    10. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    11. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    12. Malin Gardberg & Lorenzo Pozzi, 2022. "Aggregate consumption and wealth in the long run: The impact of financial liberalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 161-186, January.
    13. Andrew Filardo & Paul Hubert & Phurichai Rungcharoenkitkul, 2019. "The reaction function channel of monetary policy and the financial cycle," SciencePo Working papers Main hal-03403260, HAL.
    14. Chang, Tsangyao & Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian, 2019. "Predicting stock market movements with a time-varying consumption-aggregate wealth ratio," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 458-467.
    15. Chen Lian & Yueran Ma & Carmen Wang, 2019. "Low Interest Rates and Risk-Taking: Evidence from Individual Investment Decisions," The Review of Financial Studies, Society for Financial Studies, vol. 32(6), pages 2107-2148.
    16. Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2017. "Why so low for so long? A long-term view of real interest rates," BIS Working Papers 685, Bank for International Settlements.
    17. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    18. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," Documents de Travail de l'OFCE 2020-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    19. Ge Gao & Alex Nikolsko-Rzhevskyy & Oleksandr Talavera, 2023. "Can Central Banks Be Heard Over the Sound of Gunfire?," Discussion Papers 23-09, Department of Economics, University of Birmingham.
    20. Rohan Kekre & Moritz Lenel, 2020. "Monetary Policy, Redistribution, and Risk Premia," Working Papers 2020-02, Becker Friedman Institute for Research In Economics.
    21. Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
    22. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
    23. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2020. "Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio," Working Papers 202094, University of Pretoria, Department of Economics.
    24. Oğuzhan Çepni & Rangan Gupta & Mark E. Wohar, 2021. "Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 661-674, June.
    25. Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2020. "Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data," Applied Economics Letters, Taylor & Francis Journals, vol. 27(16), pages 1305-1311, September.
    26. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
    27. Dmitry Kuvshinov & Kaspar Zimmermann, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," Working Papers 0136, European Historical Economics Society (EHES).
    28. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    29. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis," Working Papers 820, Queen Mary University of London, School of Economics and Finance.
    30. François Gourio & Phuong Ngo, 2024. "Downward Nominal Rigidities and Bond Premia," Working Paper Series WP 2024-09, Federal Reserve Bank of Chicago.
    31. Plantin, Guillaume, 2023. "Asset bubbles and inflation as competing monetary phenomena," Journal of Economic Theory, Elsevier, vol. 212(C).
    32. Filardo, Andrew & Hubert, Paul & Rungcharoenkitkul, Phurichai, 2022. "Monetary policy reaction function and the financial cycle," Journal of Banking & Finance, Elsevier, vol. 142(C).
    33. Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
    34. Chuanglian Chen & Xiaobin Liu & Jun Yu & Tao Zeng, 2024. "The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China," Working Papers 202421, University of Macau, Faculty of Business Administration.
    35. Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2017. "Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 269-279.
    36. Jang, Bosung & So, Inhwan, 2024. "Stock returns and monetary policy stance," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 851-869.
    37. Bouabdallah, Othman & Jacquinot, Pascal & Patella, Valeria, 2023. "Monetary/fiscal policy regimes in post-war Europe," Working Paper Series 2871, European Central Bank.
    38. Chen, Deyang & Zeng, Zheyu & Chen, Yunyue, 2024. "Heterogeneous impacts of multiple climate policies on the chinese stock market," Finance Research Letters, Elsevier, vol. 60(C).
    39. Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers 201912, University of Pretoria, Department of Economics.
    40. Christian Pierdzioch & Sebastian Rohloff & Roland von Campe, 2023. "The stance of U.S. monetary policy and the realized variance of gold-price returns," Economics Bulletin, AccessEcon, vol. 43(2), pages 719-732.
    41. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
    42. Li, Erica X.N. & Zha, Tao & Zhang, Ji & Zhou, Hao, 2022. "Does fiscal policy matter for stock-bond return correlation?," Journal of Monetary Economics, Elsevier, vol. 128(C), pages 20-34.
    43. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," MPRA Paper 88581, University Library of Munich, Germany.
    44. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The big bang: Stock market capitalization in the long run," IBF Paper Series 02-18, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
    45. Wang, Jingya & Taylor, Alex P., 2024. "Predicting consumption-wealth ratio changes and stock market returns," Research in International Business and Finance, Elsevier, vol. 71(C).
    46. Malin Gardberg & Lorenzo (L.C.G.) Pozzi, 2018. "Consumption and wealth in the long run: an integrated unobserved component approach," Tinbergen Institute Discussion Papers 18-046/VI, Tinbergen Institute, revised 13 Sep 2018.
    47. Yang, Jinyu & Dong, Dayong & Liang, Chao & Cao, Yang, 2024. "Monetary policy uncertainty and the price bubbles in energy markets," Energy Economics, Elsevier, vol. 133(C).

  9. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015. "Origins of Stock Market Fluctuations," CEPR Discussion Papers 10336, C.E.P.R. Discussion Papers.

    Cited by:

    1. Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo, 2021. "Bargaining shocks and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    2. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
    3. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
    4. German Forero-Laverde, 2016. "Are All Booms and Busts Created Equal? A New Methodology for Understanding Bull and Bear Stock Markets," UB School of Economics Working Papers 2016/339, University of Barcelona School of Economics.
    5. Iraola, Miguel A. & Santos, Manuel S., 2017. "Asset price volatility, price markups, and macroeconomic fluctuations," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 84-98.
    6. Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
    7. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    8. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
    9. Dominique Pépin & Stephen Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Post-Print hal-04648224, HAL.
    10. Apergis, Nicholas, 2019. "The impact of fracking activities on Oklahoma's housing prices: A panel cointegration analysis," Energy Policy, Elsevier, vol. 128(C), pages 94-101.
    11. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    12. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
    13. Roberto Marfè, 2016. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 460, Collegio Carlo Alberto.
    14. Anmol Bhandari & David Evans & Mikhail Golosov & Thomas J. Sargent, 2021. "Inequality, Business Cycles, and Monetary‐Fiscal Policy," Econometrica, Econometric Society, vol. 89(6), pages 2559-2599, November.
    15. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    16. Dmitry Kuvshinov & Kaspar Zimmermann, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," Working Papers 0136, European Historical Economics Society (EHES).
    17. Anisha Ghosh & George M Constantinides, 2021. "What Information Drives Asset Prices? [Information quality and long-run risk: Asset pricing implications]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 837-885.
    18. Pinter, Gabor, 2016. "The macroeconomic shock with the highest price of risk," Bank of England working papers 616, Bank of England.
    19. Robert E. Hall, 2017. "High Discounts and High Unemployment," American Economic Review, American Economic Association, vol. 107(2), pages 305-330, February.
    20. Matthijs Breugem & Stefano Colonnello & Roberto Marfe & Francesca Zucchi, 2024. "Dynamic Equity Slope," Carlo Alberto Notebooks 713 JEL Classification: D, Collegio Carlo Alberto.
    21. Li Liu & Yudong Wang, 2021. "Forecasting aggregate market volatility: The role of good and bad uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 40-61, January.
    22. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    23. Krivenko, Pavel, 2023. "Asset prices in a labor search model with confidence shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    24. Kevin J. Lansing, 2015. "Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(4), pages 67-103, October.
    25. Pablo Guerron-Quintana & Jesus Fernandez-Villaverde & Thorsten Drautzburg, 2017. "Political Distribution Risk and Business Cycles," 2017 Meeting Papers 1201, Society for Economic Dynamics.
    26. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
    27. Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
    28. Fernández-Villaverde, Jesús & Drautzburg, Thorsten & Guerron-Quintana, Pablo A., 2017. "Political Distribution Risk and Aggregate Fluctuations," CEPR Discussion Papers 12187, C.E.P.R. Discussion Papers.
    29. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," MPRA Paper 88581, University Library of Munich, Germany.
    30. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The big bang: Stock market capitalization in the long run," IBF Paper Series 02-18, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
    31. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
    32. Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
    33. Erik Gilje & Robert Ready & Nikolai Roussanov, 2016. "Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution," NBER Working Papers 22914, National Bureau of Economic Research, Inc.

  10. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.

    Cited by:

    1. Favilukis, Jack & Lin, Xiaoji, 2016. "Does wage rigidity make firms riskier? Evidence from long-horizon return predictability," Journal of Monetary Economics, Elsevier, vol. 78(C), pages 80-95.

  11. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.

    Cited by:

    1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
    2. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    3. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
    4. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    5. Michael Weber & Christian Dorion & Alexandre Jeanneret & Harjoat Bhamra, 2017. "Deflation, Sticky Leverage and Asset Prices," 2017 Meeting Papers 796, Society for Economic Dynamics.
    6. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    7. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    8. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    9. Marianne Andries & Valentin Haddad, 2017. "Information Aversion," NBER Working Papers 23958, National Bureau of Economic Research, Inc.
    10. Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
    11. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
    12. Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
    13. Makhanya, Kabelo Collen & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2023. "Examining the dependence structure between carry trade and equity market returns in BRICS countries," MPRA Paper 117461, University Library of Munich, Germany.
    14. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    15. Du, Wenxin & Hebert, Benjamin & Wang, Amy, 2019. "Are Intermediary Constraints Priced?," Research Papers 3770, Stanford University, Graduate School of Business.
    16. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    17. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
    18. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    19. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
    20. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
    21. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
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    Cited by:

    1. Koh, Dongya & Santaeulà lia-Llopis, Raül, 2022. "Countercyclical Elasticity of Substitution," CEPR Discussion Papers 17246, C.E.P.R. Discussion Papers.
    2. William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
    3. Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    4. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
    5. Hecq, A.W. & Issler, J.V., 2012. "A common-feature approach for testing present-value restrictions with financial data," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    6. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    7. John Muellbauer, 2012. "When is a Housing Market Overheated Enough to Threaten Stability?," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Frank Packer & Callan Windsor (ed.),Property Markets and Financial Stability, Reserve Bank of Australia.
    8. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    9. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
    10. Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
    11. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
    12. Frank Schmid, 2013. "Wealth Effects on Consumption in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(I), pages 87-110, March.
    13. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    14. Ai, Hengjie & Li, Kai & Yang, Fang, 2020. "Financial intermediation and capital reallocation," Journal of Financial Economics, Elsevier, vol. 138(3), pages 663-686.
    15. Fabio Bagliano & Claudio Morana, 2015. "It ain't over till it's over: A global perspective on the Great Moderation-Great Recession interconnection," Working Papers 303, University of Milano-Bicocca, Department of Economics, revised Jul 2015.
    16. Blau, Benjamin M., 2017. "Economic freedom and crashes in financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 33-46.
    17. Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
    18. Roger E.A. Farmer, 2011. "The Stock Market Crash of 2008 Caused the Great Recession: Theory and Evidence," NBER Working Papers 17479, National Bureau of Economic Research, Inc.
    19. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
    20. Volkov, Nikanor I. & Smith, Garrett C., 2015. "Corporate diversification and firm value during economic downturns," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 160-175.
    21. Roger Farmer, 2012. "The Stock Market Crash of 2008 Caused the Great Recession," 2012 Meeting Papers 145, Society for Economic Dynamics.
    22. Don Harding, 2020. "Econometric Foundations of the Great Ratios of Economics," Centre of Policy Studies/IMPACT Centre Working Papers g-300, Victoria University, Centre of Policy Studies/IMPACT Centre.
    23. Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014. "The Origins of Stock Market Fluctuations," 2014 Meeting Papers 542, Society for Economic Dynamics.
    24. Alain Galli, 2016. "How reliable are cointegration-based estimates for wealth effects on consumption? Evidence from Switzerland," Working Papers 2016-03, Swiss National Bank.
    25. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    26. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    27. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
    28. Fisher, Lance A. & Huh, Hyeon-seung & Otto, Glenn, 2012. "Structural cointegrated models of US consumption and wealth," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1111-1124.
    29. Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2022. "Weighted-average quantile regression," Papers 2203.03032, arXiv.org.
    30. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers 21803, National Bureau of Economic Research, Inc.
    31. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.

  13. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
    3. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    4. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    5. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    6. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
    7. Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
    8. David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
    9. Croce, Mariano & Ai, Hengjie & Li, Kai & Diercks, Anthony, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    10. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    11. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
    12. Manuel Monge & Luis A. Gil-Alana, 2020. "The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies," Risks, MDPI, vol. 8(4), pages 1-17, December.
    13. Suzuki, Masataka, 2024. "A consumption-based term structure model of bonds and equity," International Review of Financial Analysis, Elsevier, vol. 94(C).
    14. Lilian de Castro Medeiros & Aureliano Angel Bressan, 2015. "Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 67-90, May.
    15. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
    16. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    17. Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
    18. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    19. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    20. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
    21. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    22. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    23. Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers 57, Brandeis University, Department of Economics and International Business School.
    24. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    25. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    26. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    27. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    28. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    29. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    30. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    31. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    32. Van Nieuwerburgh, Stijn & Gupta, Arpit, 2019. "Valuing Private Equity Strip by Strip," CEPR Discussion Papers 14241, C.E.P.R. Discussion Papers.
    33. Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
    34. Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
    35. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    36. Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
    37. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
    38. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
    39. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    40. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    41. Curatola, Giuliano, 2015. "Loss aversion, habit formation and the term structures of equity and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 103-122.
    42. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    43. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
    44. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
    45. Christoph Kaserer, 2022. "Estimating the market risk premium for valuations: arithmetic or geometric mean or something in between?," Journal of Business Economics, Springer, vol. 92(8), pages 1373-1415, October.
    46. Brandao-Marques, Luis & Gelos, Gaston & Ichiue, Hibiki & Oura, Hiroko, 2022. "Changes in the global investor base and the stability of portfolio flows to emerging markets," Journal of Banking & Finance, Elsevier, vol. 144(C).
    47. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    48. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    49. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    50. Damir Filipović & Sander Willems, 2020. "A term structure model for dividends and interest rates," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1461-1496, October.
    51. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    52. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
    53. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    54. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    55. Connolly, Robert & Dubofsky, David & Stivers, Chris, 2018. "Macroeconomic uncertainty and the distant forward-rate slope," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 140-161.
    56. Cieslak, Anna & Pang, Hao, 2020. "Common shocks in stocks and bonds," CEPR Discussion Papers 14708, C.E.P.R. Discussion Papers.
    57. Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
    58. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    59. Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    60. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
    61. Taeyoung Doh & Shu Wu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
    62. Dan Saar & Yossi Yagil, 2018. "Predicting Growth Components ¨C Unemployment, Housing Prices and Consumption Using Both Government and Corporate Yield Curves," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(6), pages 180-192, June.
    63. Werner, Thomas & Lemke, Wolfgang, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
    64. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    65. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
    66. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
    67. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
    68. Gozluklu, Arie & Morin, Annaïg, 2019. "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, vol. 109(C).

  14. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.

    Cited by:

    1. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
    2. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," NBER Working Papers 21871, National Bureau of Economic Research, Inc.
    3. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
    4. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    5. Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
    6. Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers 22520, National Bureau of Economic Research, Inc.
    7. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    8. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
    9. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
    10. Chen, Huafeng (Jason), 2011. "Firm life expectancy and the heterogeneity of the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 100(2), pages 402-423, May.
    11. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    12. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
    13. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    14. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    15. Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
    16. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    17. Riccardo Colacito & Mariano M. Croce, 2011. "Risks for the Long Run and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 153-181.
    18. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
    19. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
    20. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc.
    21. Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers 32/12, Institute for Fiscal Studies.
    22. Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
    23. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    24. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
    25. A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
    26. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
    27. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    28. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
    29. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
    30. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    31. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    32. Ravi Jagannathan & Binying Liu, 2019. "Dividend Dynamics, Learning, and Expected Stock Index Returns," Journal of Finance, American Finance Association, vol. 74(1), pages 401-448, February.
    33. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    34. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    35. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    36. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
    37. Mohrschladt, Hannes & Nolte, Sven, 2018. "A new risk factor based on equity duration," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 126-135.
    38. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
    39. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
    40. Sydney Ludvigson & Jack Favalukus & Xiaohong Chen, 2007. "An Estimation of Economic Models with Recursive Preferences," 2007 Meeting Papers 543, Society for Economic Dynamics.
    41. Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
    42. Matthijs Breugem & Stefano Colonnello & Roberto Marfe & Francesca Zucchi, 2024. "Dynamic Equity Slope," Carlo Alberto Notebooks 713 JEL Classification: D, Collegio Carlo Alberto.
    43. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
    44. John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
    45. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
    46. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    47. Veronesi, Pietro & Pástor, Luboš, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
    48. Xavier Gabaix, 2016. "Behavioral Macroeconomics Via Sparse Dynamic Programming," NBER Working Papers 21848, National Bureau of Economic Research, Inc.
    49. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    50. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    51. Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
    52. Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
    53. Olaf Stotz, 2020. "The Equity Curve and Its Relation to Future Stock Returns," JRFM, MDPI, vol. 13(2), pages 1-16, January.
    54. Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
    55. Ming Zeng & Guihai Zhao, 2022. "Expectation-Driven Term Structure of Equity and Bond Yields," Staff Working Papers 22-21, Bank of Canada.
    56. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
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    58. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
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  16. Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics.

    Cited by:

    1. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2010. "On the Timing and Pricing of Dividends," NBER Working Papers 16455, National Bureau of Economic Research, Inc.
    2. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    3. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    4. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    5. Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports 703, Federal Reserve Bank of New York.
    6. John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
    7. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
    8. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
    9. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.

  17. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.

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    1. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
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    7. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
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  18. Lettau, Martin & Van Nieuwerburgh, Stijn, 2005. "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers 5355, C.E.P.R. Discussion Papers.

    Cited by:

    1. Charles R. Nelson & Jinho Bae, 2004. "Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?," Econometric Society 2004 Far Eastern Meetings 452, Econometric Society.
    2. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).

  19. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    2. Gomes, Fábio Augusto Reis & Ribeiro, Priscila Fernandes, 2015. "Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 108-123.
    3. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    4. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
    5. Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on Sets in Finance," Papers 1211.4282, arXiv.org.
    6. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
    7. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009. "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers 2009-57, Department of Economics and Business Economics, Aarhus University.
    8. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    9. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    10. Ghosh, Anisha & Linton, Oliver, 2007. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics 24506, London School of Economics and Political Science, LSE Library.
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    13. Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests," Working Papers 201679, University of Pretoria, Department of Economics.
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    17. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
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    22. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CESifo Working Paper Series 8250, CESifo.
    23. Lucas Herrenbrueck, Zijian Wang, 2023. "Interest Rates, Moneyness, and the Fisher Equation," Discussion Papers dp23-11, Department of Economics, Simon Fraser University.
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  20. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.

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    5. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    6. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
    7. Ralph S. J. Koijen & Tomas J. Philipson & Harald Uhlig, 2016. "Financial Health Economics," Econometrica, Econometric Society, vol. 84, pages 195-242, January.
    8. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    9. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
    10. Ali K. Ozdagli, 2012. "Financial Leverage, Corporate Investment, and Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1033-1069.
    11. Ali Ozdagli & Mihail Velikov, 2016. "Show me the money: the monetary policy risk premium," Working Papers 16-27, Federal Reserve Bank of Boston.
    12. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
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    2. Nils Holinski & Robert Vermeulen, 2012. "The international wealth channel: a global error-correcting analysis," Empirical Economics, Springer, vol. 43(3), pages 985-1010, December.
    3. Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
    4. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Inference in the Time Varying Cointegration Model," Working Papers 1121, University of Strathclyde Business School, Department of Economics.
    5. Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010. "The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
    6. Caballero, Ricardo & Simsek, Alp, 2022. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CEPR Discussion Papers 15163, C.E.P.R. Discussion Papers.
    7. Trivin, Pedro, 2020. "The wealth-consumption channel: Evidence from a panel of Spanish households," MPRA Paper 102079, University Library of Munich, Germany.
    8. Chen, Jie, 2006. "Housing Wealth and Aggregate Consumption in Sweden," Working Paper Series 2006:16, Uppsala University, Department of Economics.
    9. Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence On Sticky Consumption Growth," Economics Working Paper Archive 542, The Johns Hopkins University,Department of Economics.
    10. Juhro, Solikin M. & Iyke, Bernard Njindan, 2020. "Consumer confidence and consumption expenditure in Indonesia," Economic Modelling, Elsevier, vol. 89(C), pages 367-377.
    11. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," Borradores de Economia 5480, Banco de la Republica.
    12. Yu-Fu Chen & Michael Funke & Aaron Mehrotra, 2011. "What Drives Urban Consumption in Mainland China? The Role of Property Price Dynamics," Working Papers 152011, Hong Kong Institute for Monetary Research.
    13. Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242, Cowles Foundation for Research in Economics, Yale University.
    14. Aono, Kohei & 青野, 幸平 & アオノ, コウヘイ & Iwaisako, Tokuo & 祝迫, 得夫 & イワイサコ, トクオ, 2008. "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series a504, Institute of Economic Research, Hitotsubashi University.
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    21. de Groot, E.A. & Franses, Ph.H.B.F., 2012. "Do Commercial Real Estate Prices Have Predictive Content for GDP," Econometric Institute Research Papers EI 2012-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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    30. Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation (Subsequently published in "The B.E. Journal of Macroeconomics (Topics in Macroeconomics)", 2006, Vol. 6, Issue 3, Arti," CARF F-Series CARF-F-069, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    31. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    32. Aron, Janine & Muellbauer, John & Murphy, Anthony, 2006. "Housing wealth, credit conditions and consumption," MPRA Paper 24485, University Library of Munich, Germany.
    33. Carroll, Christopher D. & Otsuka, Misuzu & Slacalek, Jirka, 2006. "How large is the housing wealth effect? A new approach," CFS Working Paper Series 2006/35, Center for Financial Studies (CFS).
    34. Michael Funke & Yu-Fu Chen & Aaron Mehrota, 2011. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21105, Hamburg University, Department of Economics.
    35. Hecq, A.W. & Issler, J.V., 2012. "A common-feature approach for testing present-value restrictions with financial data," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    36. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries: A FAVAR Model Under Bayesian Framework," Working Papers hal-04141045, HAL.
    37. Johannesen, Niels & Andersen, Asger Lau & Sheridan, Adam, 2021. "Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-lotteries on the Stock Market," CEPR Discussion Papers 16338, C.E.P.R. Discussion Papers.
    38. de Bondt, Gabe & Gieseck, Arne & Herrero, Pablo & Zekaite, Zivile, 2019. "Disaggregate income and wealth effects in the largest euro area countries," Research Technical Papers 15/RT/19, Central Bank of Ireland.
    39. Ulrich K. Müller & Mark W. Watson, 2008. "Testing Models of Low-Frequency Variability," Econometrica, Econometric Society, vol. 76(5), pages 979-1016, September.
    40. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
    41. John Muellbauer, 2016. "Macroeconomics and Consumption," Economics Series Working Papers Paper-811, University of Oxford, Department of Economics.
    42. Ryan R. Brady & Derek Stimel, 2011. "How the Housing and Financial Wealth Effects have changed over Time," Departmental Working Papers 31, United States Naval Academy Department of Economics.
    43. Guerrieri, Cinzia & Mendicino, Caterina, 2018. "Wealth effects in the euro area," Working Paper Series 2157, European Central Bank.
    44. Kevin X.D. Huang & Zheng Liu & John Qi Zhu, 2015. "Temptation and Self‐Control: Some Evidence and Applications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 581-615, June.
    45. Marcel Fratzscher & Roland Straub, 2013. "Asset Prices, News Shocks, and the Trade Balance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1211-1251, October.
    46. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
    47. Eduard Hartwich & Alexander Rieger & Johannes Sedlmeir & Dominik Jurek & Gilbert Fridgen, 2023. "Machine economies," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-13, December.
    48. Li, Yu & Liu, Kai & Lu, Xiaoying & Wang, Ben Zhe & Zhou, Xuan, 2022. "Welfare housing and household consumption in urban China," Journal of Economic Behavior & Organization, Elsevier, vol. 195(C), pages 326-334.
    49. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
    50. Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute of Labor Economics (IZA).
    51. Thomas Nitschka, 2010. "International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets," German Economic Review, Verein für Socialpolitik, vol. 11(4), pages 527-544, November.
    52. Olivier Allain, 2011. "The impact of income distribution on consumption: a reassessment," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00712657, HAL.
    53. Zeng, Jhih-Hong & Peng, Chi-Lu & Chen, Ming-Chi & Lee, Chien-Chiang, 2013. "Wealth effects on the housing markets: Do market liquidity and market states matter?," Economic Modelling, Elsevier, vol. 32(C), pages 488-495.
    54. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
    55. Raphael Bostic & Stuart Gabriel & Gary Painter, 2008. "Housing Wealth, Financial Wealth, and Consumption: New Evidence from Micro Data - Revised," Working Paper 8525, USC Lusk Center for Real Estate.
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    5. Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
    6. Stavros Panageas & Nicolae Garleanu, 2008. "Yooung, Old, Conservative and Bold: The implications of finite lives and heterogeneity for asset prices," 2008 Meeting Papers 409, Society for Economic Dynamics.
    7. Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2019. "Pricing sin stocks: Ethical preference vs. risk aversion," European Economic Review, Elsevier, vol. 118(C), pages 69-100.
    8. Yin, Libo & Nie, Jing, 2021. "Adjusted dividend-price ratios and stock return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 73(C).
    9. Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011. "News Shocks and Asset Price Volatility in General Equilibrium," IDB Publications (Working Papers) 3117, Inter-American Development Bank.
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    12. Olkhov, Victor, 2023. "The Market-Based Probability of Stock Returns," MPRA Paper 116234, University Library of Munich, Germany.
    13. Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011. "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(5), pages 1493-1520, October.
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    23. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
    24. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
    25. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
    26. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
    27. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
    28. Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
    29. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
    30. Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
    31. Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
    32. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
    33. Zhu, Min & Chen, Rui & Du, Ke & Wang, You-Gan, 2018. "Dividend growth and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 125-137.
    34. Mihai, Marius M. & Mansur, Iqbal, 2022. "Forecasting crash risk in U.S. bank returns—The role of credit booms," Journal of Corporate Finance, Elsevier, vol. 76(C).
    35. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
    36. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
    37. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020. "Cash Flow News and Stock Price Dynamics," Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
    38. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
    39. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    40. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
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  23. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ciarlone, Alessio, 2011. "Housing wealth effect in emerging economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 399-417.
    2. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
    3. Tano Santos & Pietro Veronesi, 2000. "Labor Income and Predictable Stock Returns," CRSP working papers 520, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    4. Alessio Ciarlone, 2012. "Wealth effects in emerging economies," Temi di discussione (Economic working papers) 843, Bank of Italy, Economic Research and International Relations Area.
    5. Illing, Gerhard & Klüh, Ulrich, 2005. "Vermögenspreise und Konsum: Neue Erkenntnisse, amerikanische Erfahrungen und europäische Herausforderungen," Munich Reprints in Economics 19509, University of Munich, Department of Economics.
    6. Mr. Alexander Ludwig & Mr. Torsten M Sloek, 2002. "The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries," IMF Working Papers 2002/001, International Monetary Fund.
    7. Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics.
    8. Laurent Clerk & Christian Pfister, 2003. "The role of financial factors in the transmission of monetary policy," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 192-212, Bank for International Settlements.
    9. Eschenbach, Felix & Schuknecht, Ludger, 2002. "The fiscal costs of financial instability revisited," Working Paper Series 191, European Central Bank.
    10. Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
    11. Lise Pichette, 2004. "Are Wealth Effects Important for Canada," Bank of Canada Review, Bank of Canada, vol. 2004(Spring), pages 29-35.
    12. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
    13. Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity Premium Puzzle," Harvard Institute of Economic Research Working Papers 1947, Harvard - Institute of Economic Research.

  24. Lettau, Martin & Ludvigson, Sydney, 2001. "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers 3103, C.E.P.R. Discussion Papers.

    Cited by:

    1. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    2. Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
    3. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    4. Garcia-Murillo, Martha & Velez-Ospina, Jorge Andres & Vargas-Leon, Patricia, 2012. "Where should governments invest? The impact of economic, political, social and technological factors on the formation of new firms," 23rd European Regional ITS Conference, Vienna 2012 60400, International Telecommunications Society (ITS).
    5. Gallegati, Marco & Ramsey, James B., 2014. "The forward looking information content of equity and bond markets for aggregate investments," Journal of Economics and Business, Elsevier, vol. 75(C), pages 1-24.
    6. Renee van Eyden & Goodness C. Aye & Rangan Gupta, 2012. "Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending," Working Papers 201229, University of Pretoria, Department of Economics.
    7. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Bank of Finland Research Discussion Papers 32/2016, Bank of Finland.
    8. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
    9. Papadamou, Stephanos & Siriopoulos, Costas, 2008. "Does the ECB Care about Shifts in Investors’ Risk Appetite?," MPRA Paper 25973, University Library of Munich, Germany.
    10. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1322-1332, July.
    11. Ellis, Colin & Simon Price, 2003. "UK Business Investment: Long-Run Elasticities and Short-Run Dynamics," Royal Economic Society Annual Conference 2003 73, Royal Economic Society.
    12. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, April.
    13. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004 87, Money Macro and Finance Research Group.
    14. Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
    15. Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
    16. João F. Gomes & Amir Yaron & Lu Zhang, 2006. "Asset Pricing Implications of Firms' Financing Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1321-1356.
    17. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
    18. Belo, Frederico & Lin, Xiaoji & Yang, Fan, 2014. "External Equity Financing Shocks, Financial Flows, and Asset Prices," Working Paper Series 2014-08, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    19. Nalewaik, Jeremy J., 2006. "Current consumption and future income growth: Synthetic panel evidence," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 2239-2266, November.
    20. João F. Gomes & Lukas Schmid, 2021. "Equilibrium Asset Pricing with Leverage and Default," Journal of Finance, American Finance Association, vol. 76(2), pages 977-1018, April.
    21. Laura Xiaolei Liu & Lu Zhang, 2011. "A Model of Momentum," NBER Working Papers 16747, National Bureau of Economic Research, Inc.
    22. Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England.
    23. Javier Gómez, 2004. "Inflation Targeting and Sudden Stops," Borradores de Economia 2854, Banco de la Republica.
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    3. Angeletos, George-Marios & Panousi, Vasia, 2011. "Financial integration, entrepreneurial risk and global dynamics," Journal of Economic Theory, Elsevier, vol. 146(3), pages 863-896, May.
    4. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
    5. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    6. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
    7. David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
    8. van de Gevel, A.J.W. & Noussair, C.N., 2012. "The Nexus between Artificial Intelligence and Economics," Discussion Paper 2012-087, Tilburg University, Center for Economic Research.
    9. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
    10. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan.
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    813. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
    814. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
    815. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
    816. Humaira Asad & Faraz Khalid Cheema, 2017. "An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 117-138, July-Dec.
    817. Sanjay Sehgal & Vidisha Garg, 2016. "Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets," Vikalpa: The Journal for Decision Makers, , vol. 41(3), pages 234-246, September.
    818. Pedro Pablo Álvarez Lois, 2003. "Capacity utilization and Monetary Policy," Working Papers 0306, Banco de España.
    819. Laura Arenas & Ana Maria Gil-Lafuente, 2021. "Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return," Mathematics, MDPI, vol. 9(7), pages 1-25, March.
    820. San Vicente Portes Luis & Ozenbas Deniz, 2009. "On Balance Sheets, Idiosyncratic Risk and Aggregate Volatility," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-27, February.
    821. Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
    822. Jilong Chen & Liao Xu & Yang Zhao, 2020. "Do ETF flows increase market efficiency? Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(5), pages 4795-4819, December.
    823. Neuhann, Daniel & Saidi, Farzad, 2018. "Do universal banks finance riskier but more productive firms?," Journal of Financial Economics, Elsevier, vol. 128(1), pages 66-85.
    824. Klasa, Sandy & Litov, Lubomir P. & Neyland, Jordan & Sepe, Simone M., 2013. "Does Legal Counsel Expertise Add Value? Evidence from Mergers and Acquisitions," Working Papers 13-27, University of Pennsylvania, Wharton School, Weiss Center.
    825. Roger, Patrick & Schatt, Alain, 2016. "Idiosyncratic risk, private benefits, and the value of family firms," Finance Research Letters, Elsevier, vol. 17(C), pages 235-245.
    826. Jungshik Hur & Cedric Mbanga Luma, 2017. "Aggregate idiosyncratic volatility, dynamic aspects of loss aversion, and narrow framing," Review of Quantitative Finance and Accounting, Springer, vol. 49(2), pages 407-433, August.
    827. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
    828. Dirk Brounen & Jeroen Derwall, 2010. "The Impact of Terrorist Attacks on International Stock Markets," European Financial Management, European Financial Management Association, vol. 16(4), pages 585-598, September.
    829. Namwon Hyung & Casper G. de Vries, 2010. "The Downside Risk of Heavy Tails induces Low Diversification," Tinbergen Institute Discussion Papers 10-082/2, Tinbergen Institute.
    830. Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
    831. Balasubramnian, Bhanu & Cyree, Ken B., 2011. "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 21-35, January.
    832. Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two‐pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 89-104, June.
    833. Roger C.Y. Chen & Shih‐Wei Hung & Chen‐Hsun Lee, 2018. "Corporate Social Responsibility and Firm Idiosyncratic Risk in Different Market States," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(4), pages 642-658, July.
    834. Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004. "Patterns of Comovement: The Role of Information Technology in the U.S. Economy," NBER Working Papers 10937, National Bureau of Economic Research, Inc.
    835. Che, Limei, 2018. "Investor types and stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 139-161.
    836. Andrea S Au, 2007. "Capitalising on European analyst earnings estimates and recommendations during different volatility regime periods," Journal of Asset Management, Palgrave Macmillan, vol. 8(2), pages 74-85, July.
    837. Charfeddine, Lanouar & Najah, Ahlem & Teulon, Frédéric, 2016. "Socially responsible investing and Islamic funds: New perspectives for portfolio allocation," Research in International Business and Finance, Elsevier, vol. 36(C), pages 351-361.
    838. Zura Kakushadze, 2014. "Russian-Doll Risk Models," Papers 1412.4342, arXiv.org, revised Nov 2017.
    839. Gregory R. Duffee, 2001. "Asymmetric cross-sectional dispersion in stock returns: evidence and implications," Working Paper Series 2000-18, Federal Reserve Bank of San Francisco.
    840. Kocaarslan, Baris & Soytas, Ugur, 2021. "Reserve currency and the volatility of clean energy stocks: The role of uncertainty," Energy Economics, Elsevier, vol. 104(C).
    841. Petros Messis & Antonis Alexandridis & Achilleas Zapranis, 2021. "Testing and comparing conditional risk‐return relationship with a new approach in the cross‐sectional framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 218-240, January.
    842. Hyunbae Chun & Jung-Wook Kim & Randall Morck, 2011. "Varying Heterogeneity among U.S. Firms: Facts and Implications," The Review of Economics and Statistics, MIT Press, vol. 93(3), pages 1034-1052, August.
    843. Murad Antia & Christos Pantzalis & Jung Chul Park, 2021. "Does CEO myopia impede growth opportunities?," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1503-1535, May.
    844. Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
    845. Brad M. Barber & Terrance Odean, 2001. "The Internet and the Investor," Journal of Economic Perspectives, American Economic Association, vol. 15(1), pages 41-54, Winter.
    846. Chiao, Chaoshin & Lin, Tung-Ying & Lee, Cheng-Few, 2017. "The reactions to on-air stock reports: Prices, volume, and order submission behavior," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 27-46.
    847. Wang, Zijun, 2010. "Dynamics and causality in industry-specific volatility," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1688-1699, July.
    848. Ziegler, Alexandre & Schürhoff, Norman, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
    849. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
    850. Reagan, Patricia B. & Salsberry, Pamela J. & Olsen, Randall J., 2007. "Does the measure of economic disadvantage matter? Exploring the effect of individual and relative deprivation on intrauterine growth restriction," Social Science & Medicine, Elsevier, vol. 64(10), pages 2016-2029, May.
    851. Timmermans, Oscar, 2024. "Cash versus share payouts in relative performance plans," LSE Research Online Documents on Economics 123696, London School of Economics and Political Science, LSE Library.
    852. Farooq Malik & Syed Hassan, 2004. "Modeling volatility in sector index returns with GARCH models using an iterated algorithm," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(2), pages 211-225, June.
    853. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
    854. Nyanine Chuele Fonou-Dombeu & Josue Mbonigaba & Odunayo Magret Olarewaju & Bomi Cyril Nomlala, 2022. "Earnings quality measures and stock return volatility in South Africa," Future Business Journal, Springer, vol. 8(1), pages 1-15, December.
    855. Tiago Miguel Sá & Elisabete Duarte Neves & Cristina Gonçalves Góis, 2017. "The influence of corporate governance on changes in risk following the global financial crisis: evidence from the Portuguese stock market," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 21(4), pages 841-878, December.
    856. Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria, 2014. "Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking," Journal of Economics and Business, Elsevier, vol. 76(C), pages 85-100.
    857. Vozlyublennaia, Nadia, 2013. "Do firm characteristics matter for the dynamics of idiosyncratic risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 35-46.
    858. Walkshäusl, Christian, 2013. "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, Elsevier, vol. 22(4), pages 180-186.
    859. Chiou, Wan-Jiun Paul & Lee, Alice C. & Chang, Chiu-Chi A., 2009. "Do investors still benefit from international diversification with investment constraints?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 448-483, May.
    860. Hilscher, Jens Dietrich & Campbell, John Y. & Szilagyi, Jan, 2011. "Predicting Financial Distress and the Performance of Distressed Stocks," Scholarly Articles 9887619, Harvard University Department of Economics.
    861. Stephen Sault, 2005. "Movements in Australian Stock Volatility: A Disaggregated Approach," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 303-320, December.
    862. Pérez Artica, Rodrigo & Brufman, Leandro & Martinez, Lisana, 2013. "What are the causes of the growing trend of excess savings of the corporate sector in developed countries? An empirical analysis of three hypotheses," MPRA Paper 47410, University Library of Munich, Germany.
    863. Bali, Turan G. & Cakici, Nusret, 2010. "World market risk, country-specific risk and expected returns in international stock markets," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1152-1165, June.
    864. Mateus, Cesario & Chinthalapati, Raju & Mateus, Irina B., 2017. "Intraday industry-specific spillover effect in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 278-298.
    865. Paul Kato & Jens Hagendorff, 2010. "Distance to default, subordinated debt, and distress indicators in the banking industry," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(4), pages 853-870, December.
    866. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.
    867. Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009. "Predicting Stock Volatility Using After-Hours Information," Working Papers UWEC-2009-01, University of Washington, Department of Economics.
    868. Barinov, Alexander, 2012. "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, vol. 18(4), pages 763-781.
    869. Li JIN & Stewart C. MYERS, 2004. "R2 Around the World: New Theory and New Tests," FAME Research Paper Series rp158, International Center for Financial Asset Management and Engineering.
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    871. Muhammad Saqib Bashir Butt & Hasniza Mohd Taib, 2019. "Economic Forces and Firm Stock Returns Volatility: Role of Firm Features," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), vol. 7(3), pages :281-302, September.
    872. Chung, Chune Young & Wang, Kainan, 2014. "Do institutional investors monitor management? Evidence from the relationship between institutional ownership and capital structure," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 203-233.
    873. Fridgen, Gilbert & Kräussl, Roman & Papageorgiou, Orestis & Tugnetti, Alessandro, 2023. "The fundamental value of art NFTs," CFS Working Paper Series 709, Center for Financial Studies (CFS).
    874. Connolly, Robert & Stivers, Chris, 2006. "Information content and other characteristics of the daily cross-sectional dispersion in stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 79-112, January.
    875. Van Son Lai & Duc Khuong Nguyen & William Sodjahin & Issouf Soumaré, 2018. "Discretionary Idiosyncratic Risk, Firm Cash Holdings and Investment," Working Papers 2018-008, Department of Research, Ipag Business School.
    876. Kaviani, Mahsa S. & Kryzanowski, Lawrence & Maleki, Hosein & Savor, Pavel, 2020. "Policy uncertainty and corporate credit spreads," Journal of Financial Economics, Elsevier, vol. 138(3), pages 838-865.
    877. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.

  26. Lettau, Martin & Ludvigson, Sydney, 2001. "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers 3105, C.E.P.R. Discussion Papers.

    Cited by:

    1. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
    2. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance.
    3. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je & Gau, Yin-Feng, 2022. "Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 384-401.
    4. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

  27. Van Zandt, Timothy & Lettau, Martin, 2001. "Robustness of Adaptive Expectations as an Equilibrium Selection Device," CEPR Discussion Papers 2882, C.E.P.R. Discussion Papers.

    Cited by:

    1. Alonso-Carrera, Jaime, 2001. "On learning to forecast in an endogenous growth model with externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1139-1156, August.
    2. Baranowski, Ryan, 2015. "Adaptive learning and monetary exchange," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 1-18.
    3. Georges, Christophre, 2003. "Adjustment costs, learning, and indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 101-116, October.
    4. Li, Dong & Nagurney, Anna & Yu, Min, 2018. "Consumer learning of product quality with time delay: Insights from spatial price equilibrium models with differentiated products," Omega, Elsevier, vol. 81(C), pages 150-168.
    5. Adam, Klaus & Evans, George W. & Honkapohja, Seppo, 2003. "Are stationary hyperinflation paths learnable?," CFS Working Paper Series 2004/15, Center for Financial Studies (CFS).
    6. Shurojit Chatterji & Ignacio N. Lobato, 2010. "Transformations of the state variable and learning dynamics," International Journal of Economic Theory, The International Society for Economic Theory, vol. 6(4), pages 385-403, December.
    7. Barucci, Emilio, 2001. "Fading memory learning in a class of forward-looking models with an application to hyperinflation dynamics," Economic Modelling, Elsevier, vol. 18(2), pages 233-252, April.
    8. Klaus Adam, 2003. "Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 70(4), pages 887-907.
    9. Cars Hommes & Domenico Massaro & Isabelle Salle, 2019. "Monetary And Fiscal Policy Design At The Zero Lower Bound: Evidence From The Lab," Economic Inquiry, Western Economic Association International, vol. 57(2), pages 1120-1140, April.
    10. Adam, Klaus & Evans, George W. & Honkapohja, Seppo, 2006. "Are hyperinflation paths learnable?," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2725-2748, December.
    11. Cellarier, Laurent L., 2008. "Least squares learning and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 68(3-4), pages 553-564, December.
    12. Tuinstra, Jan, 2003. "Beliefs equilibria in an overlapping generations model," Journal of Economic Behavior & Organization, Elsevier, vol. 50(2), pages 145-164, February.
    13. Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2012. "House prices, credit growth, and excess volatility: implications for monetary and macroprudential policy," Working Paper Series 2012-11, Federal Reserve Bank of San Francisco.
    14. Óscar J. Arce, 2006. "Speculative hyperinflations: when can we rule them out?," Working Papers 0607, Banco de España.
    15. Cellarier, Laurent L., 2013. "A family production overlapping generations economy," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2168-2179.
    16. Driskill, Robert, 2006. "Multiple equilibria in dynamic rational expectations models: A critical review," European Economic Review, Elsevier, vol. 50(1), pages 171-210, January.
    17. Klaus Adam, 2001. "Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky," CSEF Working Papers 69, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.

  28. Nathan Barczi & Martin Lettau & Sydney C. Ludvigson, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York.

    Cited by:

    1. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, 2003. "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England.
    2. Andriy Avramenko & Michael R. Donihue, 2006. "Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002," Working Papers 06-15, Federal Reserve Bank of Boston.
    3. Nikola Dvornak & Marion Kohler, 2007. "Housing Wealth, Stock Market Wealth and Consumption: A Panel Analysis for Australia," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 117-130, June.
    4. Ludwig, Alexander & Slok, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Papers 04-12, Sonderforschungsbreich 504.
    5. Mr. Alexander Ludwig & Mr. Torsten M Sloek, 2002. "The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries," IMF Working Papers 2002/001, International Monetary Fund.
    6. Alexander Ludwig & Torsten Sløk, 2004. "The relationship between stock prices, house prices and consumption in OECD countries," MEA discussion paper series 04044, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    7. Bruno Eugène & Philippe Jeanfils & Benoît Robert, 2003. "La consommation privée en Belgique," Working Paper Document 39, National Bank of Belgium.
    8. Lonnie Stevans, 2004. "Aggregate consumption spending, the stock market and asymmetric error correction," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 191-198.
    9. Fisher, Lance A. & Otto, Glenn & Voss, Graham M., 2010. "The response of Australian consumption to housing wealth," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 284-299, March.
    10. Lise Pichette, 2004. "Are Wealth Effects Important for Canada," Bank of Canada Review, Bank of Canada, vol. 2004(Spring), pages 29-35.

  29. Peter Woehrmann & Willi Semmler & Martin Lettau, 2000. "Large Nonparametric Estimation Of Time Varying Characteristics Of Intertemporal Asset Pricing Models," Computing in Economics and Finance 2000 8, Society for Computational Economics.

    Cited by:

    1. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.

  30. Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.

    Cited by:

    1. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
    2. Smajlbegovic, Esad, 2015. "Regional Economic Activity and Stock Returns," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112854, Verein für Socialpolitik / German Economic Association.
    3. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
    4. Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
    5. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    6. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
    7. Meng, Ginger & Hu, Gang & Bai, Jushan, 2007. "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper 33183, University Library of Munich, Germany.
    8. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013. "What do the Fama-French factors add to CCAPM?," CAMA Working Papers 2013-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    9. Kalyvitis Sarantis & Panopoulou Ekaterini, 2013. "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
    10. Maria Sandsmark & Haakon Vennemo, 2007. "A portfolio approach to climate investments: CAPM and endogenous risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 37(4), pages 681-695, August.
    11. Zhang, Xiang & Liu, Yangyi & Wu, Kun & Maillet, Bertrand, 2021. "Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 853-879.
    12. Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
    13. Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
    14. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    15. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
    16. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
    17. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
    18. Urbański, Stanisław & Zarzecki, Dariusz, 2022. "The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects," Economic Systems, Elsevier, vol. 46(1).
    19. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
    20. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 397-429, December.
    21. Sabyasachi Mohapatra & Arun Kumar Misra & Marimuthu Murali Kannan, 2020. "Risk factors explaining returns anomaly in emerging market banks – study on Indian banking system," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 417-433, July.
    22. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    23. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April.
    24. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen.
    25. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    26. Marton Lotz & Daniel Ruf & Johannes Strobel, 2023. "Uncertainty premia in REIT returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 372-407, March.
    27. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    28. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
    29. Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020. "The Maturity Premium," CEPR Discussion Papers 14570, C.E.P.R. Discussion Papers.
    30. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, 2016. "Can stochastic discount factor models explain the cross‐section of equity returns?," Review of Financial Economics, John Wiley & Sons, vol. 28(1), pages 56-68, January.
    31. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
    32. Ammann, Manuel & Kind, Axel & Seiz, Ralf, 2010. "What drives the performance of convertible-bond funds?," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2600-2613, November.
    33. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
    34. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group.
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    459. Urbański Stanisław & Jawor Paweł & Urbański Kacper, 2014. "The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 163-178, December.
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    462. Isaac T. Tabner, 2009. "Benchmark Concentration: Capitalization Weights Versus Equal Weights in the FTSE 100 Index," Multinational Finance Journal, Multinational Finance Journal, vol. 13(3-4), pages 209-228, September.
    463. Andrew Detzel, 2017. "Monetary Policy Surprises, Investment Opportunities, And Asset Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 315-348, September.
    464. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
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    Cited by:

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    2. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
    3. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    4. Nils Holinski & Robert Vermeulen, 2012. "The international wealth channel: a global error-correcting analysis," Empirical Economics, Springer, vol. 43(3), pages 985-1010, December.
    5. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
    6. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    7. Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
    8. Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011. "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series 2012-01, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    9. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
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    11. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
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    13. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
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    40. Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
    41. Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242, Cowles Foundation for Research in Economics, Yale University.
    42. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
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    53. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 15(3), pages 24-37, December.
    54. Ali Ozdagli & Mihail Velikov, 2016. "Show me the money: the monetary policy risk premium," Working Papers 16-27, Federal Reserve Bank of Boston.
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  32. Lettau, Martin, 1998. "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers 1795, C.E.P.R. Discussion Papers.

    Cited by:

    1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    2. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen.
    3. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
    4. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers.
    5. Hanno Lustig, "undated". "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.

  33. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers.

    Cited by:

    1. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers.
    2. Jess Benhabib & Alberto Bisin & Mi Luo, 2019. "Wealth Distribution and Social Mobility in the US: A Quantitative Approach," American Economic Review, American Economic Association, vol. 109(5), pages 1623-1647, May.
    3. Caglayan, Mustafa & Kandemir Kocaaslan, Ozge & Mouratidis, Kostas, 2016. "Financial Depth and the Asymmetric Impact of Monetary Policy," MPRA Paper 75250, University Library of Munich, Germany, revised Aug 2016.
    4. Hyun-Han Shin & Rene M. Stulz, 2000. "Firm Value, Risk, and Growth Opportunities," NBER Working Papers 7808, National Bureau of Economic Research, Inc.
    5. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
    6. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    7. Yu, Edison G., 2018. "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
    8. Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1736-1754.
    9. Chang, Young Bong & Kwon, YoungOk, 2018. "Ambiguities in valuing information technology firms: Do internet searches help?," Journal of Business Research, Elsevier, vol. 92(C), pages 260-269.
    10. Taiji Harashima, 2004. "A More Realistic Endogenous Time Preference Model and the Slump in Japan," Macroeconomics 0402015, University Library of Munich, Germany, revised 09 Feb 2004.
    11. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2015. "The Role of Financial Depth on The Asymmetric Impact of Monetary Policy," EcoMod2015 8285, EcoMod.
    12. Hogan, Thomas L., 2015. "Capital and risk in commercial banking: A comparison of capital and risk-based capital ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 32-45.
    13. Taiji Harashima, 2004. "The Bad Government: A Source of Uncertainty and Business Fluctuations," Microeconomics 0407010, University Library of Munich, Germany.
    14. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
    15. Perez-Quiros, Gabriel & Timmermann, Allan, 1999. "Firm size and cyclical variations in stock returns," LSE Research Online Documents on Economics 119113, London School of Economics and Political Science, LSE Library.
    16. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE.
    17. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
    18. Soleman Alsabban & Omar Alarfaj, 2020. "An Empirical Analysis of Behavioral Finance in the Saudi Stock Market: Evidence of Overconfidence Behavior," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 73-86.
    19. Fedorov, Pavel & Sarkissian, Sergei, 2000. "Cross-sectional variations in the degree of global integration: the case of Russian equities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 131-150, June.
    20. Shum, Wai Yan, 2020. "Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

  34. Lettau, Martin, 1998. "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers 1884, C.E.P.R. Discussion Papers.

    Cited by:

    1. Carceles Poveda, Eva, 2003. "Capital adjustment costs and firm risk aversion," Economics Letters, Elsevier, vol. 81(1), pages 101-107, October.
    2. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    3. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'économie 03.03, Université de Lausanne, Faculté des HEC, Département d’économie.

  35. Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers 1678, C.E.P.R. Discussion Papers.

    Cited by:

    1. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
    2. Lettau, M., 1997. "Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996)," Other publications TiSEM 4e353018-6c52-453c-8d89-4, Tilburg University, School of Economics and Management.
    3. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, April.
    4. Hornstein Andreas & Uhlig Harald, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, De Gruyter, vol. 1(1), pages 43-67, February.
    5. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
    6. Cepii & Cepremap, 2001. "MARMOTTE : a Multinational Model," Working Papers 2001-15, CEPII research center.
    7. Josep Pijoan-Mas, 2002. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP) 3, Centro de Altisimos Estudios Rios Perez (CAERP).
    8. Olivier Allais & Loic Cadiou & Stéphane Dees, 2001. "Defining Consumption Behaviour in a Multi-Country Model," Working Papers 2001-02, CEPII research center.
    9. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
    10. Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.
    11. Ms. Aude Pommeret & Ms. Anne Epaulard, 2001. "Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data," IMF Working Papers 2001/117, International Monetary Fund.
    12. Tack Yun & Wooheon Rhee, 2004. "Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio," Econometric Society 2004 North American Summer Meetings 243, Econometric Society.
    13. Peter Woehrmann, "undated". "A dynamic model of the financial�real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.

  36. Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Rule of Thumb and Dynamic Programming," Discussion Paper 1995-27, Tilburg University, Center for Economic Research.

    Cited by:

    1. Basci, Erdem, 1999. "Learning by imitation," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1569-1585, September.

  37. Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 1995-54, Tilburg University, Center for Economic Research.

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    1. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER).
    2. Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011. "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series 2012-01, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Holger Kraft & Claus Munk & Frank Thomas Seifried & Sebastian Wagner, 2017. "Consumption habits and humps," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
    4. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
    5. Aysun, Uluc, 2008. "Automatic stabilizer feature of fixed exchange rate regimes," Emerging Markets Review, Elsevier, vol. 9(4), pages 302-328, December.
    6. Niu, Yingjie & Yang, Jinqiang & Zou, Zhentao, 2024. "Disaster learning and aggregate investment," Journal of Economic Theory, Elsevier, vol. 220(C).
    7. Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
    8. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    9. Escobar-Posada, Rolando A. & Monteiro, Goncalo, 2017. "Optimal tax policy in the presence of productive, consumption, and leisure externalities," Economics Letters, Elsevier, vol. 152(C), pages 62-65.
    10. Johannes K. Dreyer & Johannes Schneider & William T. Smith, 2020. "Saving-Based Asset Pricing and Leisure," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 507-526, November.
    11. Stephane Auray & Fabrice Collard & Patrick Feve, 2005. "Habit Persistence, Money Growth Rule and Real Indeterminacy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 48-67, January.
    12. Galí, Jordi & Rabanal, Pau, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Post-War US Data?," CEPR Discussion Papers 4522, C.E.P.R. Discussion Papers.
    13. Otrok, Christopher, 2001. "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
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    15. Kevin Elie Beaubrun-Diant & Julien Matheron, 2006. "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," EconomiX Working Papers 2006-16, University of Paris Nanterre, EconomiX.
    16. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    17. Kevin X.D. Huang & Zheng Liu & Tao Zha, 2008. "Learning, Adaptive Expectations, and Technology Shocks," Vanderbilt University Department of Economics Working Papers 0807, Vanderbilt University Department of Economics.
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    20. Jessica Roldan Pena & Virginia Olivella, 2010. "Re-examining the role of financial constraints in business cycles: is something wrong with the credit multiplier?," 2010 Meeting Papers 377, Society for Economic Dynamics.
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    23. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
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    40. Hornstein Andreas & Uhlig Harald, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, De Gruyter, vol. 1(1), pages 43-67, February.
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    63. Ali Choudhary & Paul Levine, 2006. "The 24/7 Society and Multiple Habits," School of Economics Discussion Papers 0506, School of Economics, University of Surrey.
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    100. Sanglim Lee, 2012. "Expected Currency Excess Returns and International Business Cycles," Working papers 2012-16, University of Connecticut, Department of Economics.
    101. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
    102. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    103. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
    104. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
    105. Krebs, Tom & Wilson, Bonnie, 2004. "Asset returns in an endogenous growth model with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 817-839, January.
    106. Kim, Insu & Kim, Young Se, 2019. "Inattentive agents and inflation forecast error dynamics: A Bayesian DSGE approach," Journal of Macroeconomics, Elsevier, vol. 62(C).
    107. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
    108. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    109. Lior Menzly & Tano Santos & Pietro Veronesi, 2002. "The Time Series of the Cross Section of Asset Prices," NBER Working Papers 9217, National Bureau of Economic Research, Inc.
    110. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    111. Rajnish Mehra & Edwarad C Prescott & Facundo Piguillem, 2007. "Intermediated Quantities and Returns," Levine's Bibliography 122247000000001580, UCLA Department of Economics.
    112. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers 15243, National Bureau of Economic Research, Inc.
    113. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    114. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
    115. Been‐Lon Chen, 2007. "Multiple BGPs in a Growth Model with Habit Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 25-48, February.
    116. Ivan Jaccard, 2014. "Asset Returns and Labor Supply in a Production Economy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 889-919, August.
    117. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
    118. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
    119. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    120. Markus C. Becker & Thorbjørn Knudsen, 2017. "Heterogeneity of habits as a foundation for Schumpeterian economic policy," Journal of Evolutionary Economics, Springer, vol. 27(1), pages 43-62, January.
    121. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
    122. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
    123. Ben Malin, 2006. "Lower-Frequency Macroeconomic Fluctuations: Living Standards and Leisure," 2006 Meeting Papers 752, Society for Economic Dynamics.
    124. de la Croix, David & Urbain, Jean-Pierre, 1996. "Intertemporal Substitution in Import Demand and Habit Formation," LIDAM Discussion Papers IRES 1996002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    125. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    126. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    127. Frederick Van der Ploeg, 2004. "The Welfare State, Redistribution and the Economy, Reciprocal Altruism, Consumer Rivalry and Second Best," CESifo Working Paper Series 1234, CESifo.
    128. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
    129. Hyeon O. Lee & Hyun Park, 2015. "Indeterminate Balanced Growth under Habit Persistence and Fiscal Policies," International Economic Journal, Taylor & Francis Journals, vol. 29(2), pages 259-284, June.
    130. Luo Yulei & Young Eric R, 2009. "Rational Inattention and Aggregate Fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-43, April.
    131. Zuzana Janko, "undated". "Reexamination of Real Business Cycles in A Small Open Economy," Working Papers 2008-15, Department of Economics, University of Calgary, revised 11 Jan 2008.
    132. Johri, Alok & Letendre, Marc-Andre, 2007. "What do `residuals' from first-order conditions reveal about DGE models?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2744-2773, August.
    133. Zhang, Wenlang & Semmler, Willi, 2009. "Prospect theory for stock markets: Empirical evidence with time-series data," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 835-849, December.
    134. Park, Hyun, 2013. "Do habits generate endogenous fluctuations in a growing economy?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 54-68.
    135. Zbynek Stork, 2016. "Term Structure of Interest Rates: Macro-Finance Approach," EcoMod2016 9566, EcoMod.
    136. Juin-jen Chang & Jhy-hwa Chen & Jhy-yuan Shieh, 2012. "Consumption externalities, market imperfections and optimal taxation," International Journal of Economic Theory, The International Society for Economic Theory, vol. 8(4), pages 345-359, December.
    137. Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
    138. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    139. Auray, Stéphane, 2009. "Consommation, effet de substitution intertemporelle et formation des habitudes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(4), pages 437-473, décembre.
    140. Chen, Jhy-hwa & Yang, Chih-yu & Shieh, Jhy-yuan & Chang, Juin-jen, 2020. "Consumption aspirations in dirty and clean goods and economic growth," Economic Modelling, Elsevier, vol. 87(C), pages 254-266.
    141. Liu, Chia-ying & Chang, Juin-jen, 2011. "Keeping up with the Joneses, consumer ethnocentrism, and optimal taxation," Economic Modelling, Elsevier, vol. 28(4), pages 1519-1525, July.
    142. Marc‐André Letendre, 2004. "Capital utilization and habit formation in a small open economy model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(3), pages 721-741, August.
    143. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.

  38. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.

    Cited by:

    1. Fehr, Ernst & Fischbacher, Urs & Kosfeld, Michael, 2005. "Neuroeconomic Foundation of Trust and Social Preferences," CEPR Discussion Papers 5127, C.E.P.R. Discussion Papers.
    2. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
    3. Falk, Armin & Fehr, Ernst & Zehnder, Christian, 2005. "The Behavioral Effects of Minimum Wages," IZA Discussion Papers 1625, Institute of Labor Economics (IZA).
    4. Peter Zweifel, 2021. "Solvency Regulation—An Assessment of Basel III for Banks and of Planned Solvency III for Insurers," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    5. Tania Singer & Ernst Fehr, 2005. "The Neuroeconomics of Mind Reading and Empathy," American Economic Review, American Economic Association, vol. 95(2), pages 340-345, May.
    6. Peter Zweifel & Dieter Pfaff & Jochen Kühn, 2015. "A Simple Model of Bank Behaviour—With Implications for Solvency Regulation," Studies in Microeconomics, , vol. 3(1), pages 49-68, June.

  39. Martin Lettau & Willi Semmler & University of Bielefeld, "undated". "Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market," Computing in Economics and Finance 1997 36, Society for Computational Economics.

    Cited by:

    1. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
    2. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
    3. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, April.
    4. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
    5. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    6. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
    7. Peter Woehrmann, "undated". "A dynamic model of the financial�real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.

Articles

  1. Lettau, Martin & Pelger, Markus, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
    See citations under working paper version above.
  2. Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020. "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2274-2325.
    See citations under working paper version above.
  3. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    See citations under working paper version above.
  4. Martin Lettau & Ananth Madhavan, 2018. "Exchange-Traded Funds 101 for Economists," Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
    See citations under working paper version above.
  5. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
    See citations under working paper version above.
  6. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
    See citations under working paper version above.
  7. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
    See citations under working paper version above.
  8. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
    See citations under working paper version above.
  9. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
    See citations under working paper version above.
  10. Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
    See citations under working paper version above.
  11. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
    See citations under working paper version above.
  12. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    See citations under working paper version above.
  13. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
    See citations under working paper version above.
  14. Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March.

    Cited by:

    1. Shi, Qi & Li, Bin, 2022. "Further evidence on financial information and economic activity forecasts in the United States," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    2. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
    3. Couch, Robert & Wu, Wei, 2012. "Private investment and public equity returns," Journal of Economics and Business, Elsevier, vol. 64(2), pages 160-184.
    4. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
    5. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
    6. Whelan, Karl, 2008. "Consumption and expected asset returns without assumptions about unobservables," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1209-1221, October.
    7. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    8. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
    9. Shue-Jen Wu & Wei-Ming Lee, 2012. "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, vol. 32(4), pages 3174-3181.
    10. Jeremy Rudd & Karl Whelan, 2006. "Empirical proxies for the consumption–wealth ratio," Open Access publications 10197/212, School of Economics, University College Dublin.
    11. Shi, Qi, 2023. "The RP-PCA factors and stock return predictability: An aligned approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    12. Fernandez-Corugedo, Emilio & Price, Simon & Blake, Andrew P., 2007. "The dynamics of aggregate UK consumers' non-durable expenditure," Economic Modelling, Elsevier, vol. 24(3), pages 453-469, May.
    13. Gutierrez, Roberto Jr. & Prinsky, Christo A., 2007. "Momentum, reversal, and the trading behaviors of institutions," Journal of Financial Markets, Elsevier, vol. 10(1), pages 48-75, February.
    14. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.

  15. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
    See citations under working paper version above.
  16. Van Zandt, Timothy & Lettau, Martin, 2003. "Robustness Of Adaptive Expectations As An Equilibrium Selection Device," Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 89-118, February.
    See citations under working paper version above.
  17. Martin Lettau, 2003. "Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models," Economic Journal, Royal Economic Society, vol. 113(489), pages 550-575, July.

    Cited by:

    1. Johannes K. Dreyer & Johannes Schneider & William T. Smith, 2020. "Saving-Based Asset Pricing and Leisure," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 507-526, November.
    2. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    3. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
    4. De Paoli, Bianca & Scott, Alasdair & Weeken, Olaf, 2010. "Asset pricing implications of a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2056-2073, October.
    5. Alessandro Cantelmo, 2020. "Rare disasters, the natural interest rate and monetary policy," Temi di discussione (Economic working papers) 1309, Bank of Italy, Economic Research and International Relations Area.
    6. Addessi, William & Busato, Francesco, 2009. "Fair wages, labor relations and asset returns," Journal of Financial Stability, Elsevier, vol. 5(4), pages 410-430, December.
    7. Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
    8. Kirdan Lees & Troy Matheson, 2005. "Mind your Ps and Qs! Improving ARMA forecasts with RBC priors," Reserve Bank of New Zealand Discussion Paper Series DP2005/02, Reserve Bank of New Zealand.
    9. Gomes, Francisco & Michaelides, Alexander, 2005. "Asset pricing with limited risk sharing and heterogeneous agents," LSE Research Online Documents on Economics 24649, London School of Economics and Political Science, LSE Library.
    10. Viola Angelini & Peter Simmons, "undated". "Housing Debt and Consumption," Discussion Papers 11/20, Department of Economics, University of York.
    11. Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2019. "The Origins and Effects of Macroeconomic Uncertainty," 2019 Meeting Papers 245, Society for Economic Dynamics.
    12. Stefano d’Addona & Christos Giannikos, 2014. "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
    13. Long Chen & Zhi Da & Borja Larrain, 2016. "What Moves Investment Growth?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1613-1653, December.
    14. Giannitsarou, Chryssi & Carceles-Poveda, Eva, 2007. "Asset Pricing with Adaptive Learning," CEPR Discussion Papers 6223, C.E.P.R. Discussion Papers.
    15. Claudio Campanale, 2011. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
    16. Meyer-Gohde, Alexander, 2021. "On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing," IMFS Working Paper Series 154, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    17. Volker Böhm & Tomoo Kikuchi & George Vachadze, 2008. "Asset Pricing and Productivity Growth: The Role of Consumption Scenarios," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 163-181, September.
    18. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    19. Gary S. Anderson, 2018. "Reliably Computing Nonlinear Dynamic Stochastic Model Solutions: An Algorithm with Error Formulas," Finance and Economics Discussion Series 2018-070, Board of Governors of the Federal Reserve System (U.S.).
    20. Lorenzo Menna & Patrizio Tirelli, 2018. "Risk Premiums, Nominal Rigidities and Limited Asset Market Participation," Working Papers 388, University of Milano-Bicocca, Department of Economics, revised 25 Oct 2018.
    21. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    22. Valery Polkovnichenko & Alexander Michaelides & Francisco Gomes, 2007. "Fiscal Policy, Asset Pricing and Economic Activity in a Savers-Spenders Economy," 2007 Meeting Papers 191, Society for Economic Dynamics.
    23. Lorenzo Menna & Patrizio Tirelli, 2014. "The Equity Premium in a DSGE Model with Limited Asset Market Participation," Working Papers 275, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
    24. Meyer-Gohde, Alexander, 2023. "Numerical stability analysis of linear DSGE models: Backward errors, forward errors and condition numbers," IMFS Working Paper Series 193, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    25. Gertler, Mark & Kiyotaki, Nobuhiro & Queralto, Albert, 2012. "Financial crises, bank risk exposure and government financial policy," Journal of Monetary Economics, Elsevier, vol. 59(S), pages 17-34.
    26. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.

  18. Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
    See citations under working paper version above.
  19. Lettau, Martin & Uhlig, Harald, 2002. "The Sharpe Ratio And Preferences: A Parametric Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 242-265, April.

    Cited by:

    1. Eliezer Borenstein & David Elkayam, 2013. "The equity premium in a small open economy, and an application to Israel," Bank of Israel Working Papers 2013.03, Bank of Israel.
    2. Kanamura, Takashi & Ohashi, Kazuhiko, 2009. "Pricing summer day options by good-deal bounds," Energy Economics, Elsevier, vol. 31(2), pages 289-297, March.
    3. Farah Said & Uzma Afzal & Ginger Turner, 2014. "Attitudes Towards Risk in the Wake of a Rare Event: Evidence from Pakistan," CREB Working papers 2-2014, Centre for Research in Economics and Business, The Lahore School of Economics, revised 2014.
    4. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 1-25, February.
    5. Grishchenko, Olesya V., 2011. "Asset pricing in the production economy subject to monetary shocks," Journal of Economics and Business, Elsevier, vol. 63(3), pages 187-216, May.
    6. Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," 2007 Meeting Papers 97, Society for Economic Dynamics.
    7. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank.
    8. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
    9. Hénin, Pierre-Yves & Weitzenblum, Thomas, 2003. "Employment protection and the stock market: The common shock case," CEPREMAP Working Papers (Couverture Orange) 0306, CEPREMAP.
    10. Bullard, James & Evans, George W. & Honkapohja, Seppo, 2010. "A Model Of Near-Rational Exuberance," Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 166-188, April.
    11. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
    12. Budria, Santiago, 2006. "Term premium and equity premium in economies with habit formation," UC3M Working papers. Economics we065522, Universidad Carlos III de Madrid. Departamento de Economía.
    13. Felix KUBLER & Karl SCHMEDDERS, 2010. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," Swiss Finance Institute Research Paper Series 10-21, Swiss Finance Institute.
    14. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
    15. Said, Farah & Afzal, Uzma & Turner, Ginger, 2015. "Risk taking and risk learning after a rare event: Evidence from a field experiment in Pakistan," Journal of Economic Behavior & Organization, Elsevier, vol. 118(C), pages 167-183.
    16. Parantap Basu & Elie Appelbaum, 2004. "A New Methodology For Studying The Equity Premium," Royal Economic Society Annual Conference 2004 72, Royal Economic Society.
    17. Zhang, Wenlang & Semmler, Willi, 2009. "Prospect theory for stock markets: Empirical evidence with time-series data," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 835-849, December.
    18. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, vol. 3(2), pages 193-212, March.
    19. Harald Uhlig, 2010. "Easy EZ in DSGE," 2010 Meeting Papers 111, Society for Economic Dynamics.

  20. Martin Lettau & Sydney C. Ludvigson & Charles Steindel, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 117-133.

    Cited by:

    1. Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012. "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," CESifo Working Paper Series 3897, CESifo.
    2. Chen, David Y. & Li, Tongzhe, 2014. "Financial crises, Asian stock indices, and current accounts: An Asian-U.S. comparative study," Journal of Asian Economics, Elsevier, vol. 34(C), pages 66-78.
    3. Joeri Schasfoort & Antoine Godin & Dirk Bezemer & Alessandro Caiani & Stephen Kinsella, 2017. "Monetary Policy Transmission In A Macroeconomic Agent-Based Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-35, December.
    4. Luc Arrondel & Pierre Lamarche & Frédérique Savignac, 2015. "Wealth Effects on Consumption across the Wealth Distribution: Empirical Evidence," Working Papers halshs-01168660, HAL.
    5. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    6. Hong Kong Monetary Authority, 2008. "The housing market channel of the monetary transmission mechanism in Hong Kong," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 221-234, Bank for International Settlements.
    7. Andrea Carriero & Alessio Volpicella, 2022. "Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty," School of Economics Discussion Papers 0322, School of Economics, University of Surrey.
    8. Martin Feldkircher & Kazuhiko Kakamu, 2018. "How does monetary policy affect income inequality in Japan? Evidence from grouped data," Papers 1803.08868, arXiv.org, revised Jul 2021.
    9. Vincent Labhard & Gabriel Sterne & Chris Young, 2005. "Wealth and consumption: an assessment of the international evidence," Bank of England working papers 275, Bank of England.
    10. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
    11. Jongrim Ha, 2021. "Financial market spillovers of U.S. monetary policy shocks," Review of International Economics, Wiley Blackwell, vol. 29(5), pages 1221-1274, November.
    12. Muhammad Naveed Tahir, 2012. "Relative Importance of Monetary Transmission Channels in Inflation Targeting Emerging Economies," EcoMod2012 4092, EcoMod.
    13. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society.
    14. Robert S. Chirinko & Leo de Haan & Elmer Sterken, 2008. "Asset Price Shocks, Real Expenditures, and Financial Structure: A Multi-Country Analysis," CESifo Working Paper Series 2342, CESifo.
    15. Rangan Gupta & Mampho P. Modise, 2010. "South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns," Working Papers 201027, University of Pretoria, Department of Economics.
    16. Araújo, Eurilton, 2013. "Robust monetary policy with the consumption-wealth channel," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 296-311.
    17. Elmer Sterken, 2005. "The Role of the Ifo Business Climate Indicator and Asset Prices in German Monetary Policy," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 173-201, Springer.
    18. Koivu, Tuuli, 2012. "Monetary policy, asset prices and consumption in China," Economic Systems, Elsevier, vol. 36(2), pages 307-325.
    19. Mali Chivakul & Bernhard Kassner, 2019. "Can Consumption Growth in China Keep Up as Investment Slows?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 61(3), pages 381-412, September.
    20. Edda Claus & Iris Claus, 2007. "Transmitting Shocks To The Economy: The Contribution Of Interest And Exchange Rates And The Credit Channel," CAMA Working Papers 2007-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    21. Sterken, Elmer, 2003. "Monetary transmission, asset prices, and the business cycle indicator in Germany," CCSO Working Papers 200315, University of Groningen, CCSO Centre for Economic Research.
    22. Renée A. Fry & Vance L. Martin & Nicholas Voukelatos, 2010. "Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?," The Economic Record, The Economic Society of Australia, vol. 86(275), pages 465-485, December.
    23. Sousa, Ricardo M., 2010. "Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 88-105, March.
    24. Garbinti, Bertrand & Lamarche, Pierre & Savignac, Frédérique & Lecanu, Charlélie, 2020. "Wealth effect on consumption during the sovereign debt crisis: households heterogeneity in the euro area," Working Paper Series 2357, European Central Bank.
    25. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
    26. Junning Cai, 2003. "Asset Prices and Monetary Policy: Some Notes," Macroeconomics 0305006, University Library of Munich, Germany, revised 13 May 2003.
    27. Héctor Bravo L. & Carlos García T. & Verónica Mies M. & Matías Tapia G., 2003. "Heterogeneity in Monetary Transmission: Sectoral and Regional Effects," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 6(3), pages 5-26, December.
    28. Claus, Iris, 2011. "Inside the black box: How important is the credit channel relative to the interest and exchange rate channels?," Economic Modelling, Elsevier, vol. 28(1-2), pages 1-12, January.
    29. Yener Coskun & Nicholas Apergis & Esra Alp Coskun, 2022. "Nonlinear responses of consumption to wealth, income, and interest rate shocks," Empirical Economics, Springer, vol. 63(3), pages 1293-1335, September.
    30. Xuan Vinh Vo & Phuc Canh Nguyen, 2017. "Monetary Policy Transmission in Vietnam: Evidence from a VAR Approach," Australian Economic Papers, Wiley Blackwell, vol. 56(1), pages 27-38, March.
    31. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2012. "How does fiscal policy react to wealth composition and asset prices?," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 874-890.
    32. Hsiao Chink Tang, 2006. "The Relative Importance Of Monetary Policy Transmission Channels In Malaysia," CAMA Working Papers 2006-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    33. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    34. Elbourne, Adam, 2008. "The UK housing market and the monetary policy transmission mechanism: An SVAR approach," Journal of Housing Economics, Elsevier, vol. 17(1), pages 65-87, March.
    35. Odusami, Babatunde Olatunji, 2010. "To consume or not: How oil prices affect the comovement of consumption and aggregate wealth," Energy Economics, Elsevier, vol. 32(4), pages 857-867, July.
    36. Bruno Eugène & Philippe Jeanfils & Benoît Robert, 2003. "La consommation privée en Belgique," Working Paper Document 39, National Bank of Belgium.
    37. Jagannathan, Ravi & Kapoor, Mudit & Schaumburg, Ernst, 2013. "Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease!," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 4-29.
    38. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
    39. Zhang, Jin & Xie, Mingjia, 2016. "China's oil product pricing mechanism: What role does it play in China's macroeconomy?," China Economic Review, Elsevier, vol. 38(C), pages 209-221.
    40. Hanna Putkuri, 2004. "Cross-country asymmetries in euro area monetary transmission: the role of national financial systems," Macroeconomics 0404037, University Library of Munich, Germany.
    41. Levrero, Enrico Sergio, 2022. "The Taylor Rule and its Aftermath: Elements for an Interpretation along Classical-Keynesian lines," Centro Sraffa Working Papers CSWP59, Centro di Ricerche e Documentazione "Piero Sraffa".
    42. Norhana Endut & James Morley & Pao-Lin Tien, 2015. "The Changing Transmission Mechanism of U.S. Monetary Policy," Discussion Papers 2015-03, School of Economics, The University of New South Wales.
    43. Cheah, Siew Pong & Law, Siong Hook, 2017. "Roles of Housing Wealth and Financial Wealth in Monetary Transmission Mechanism in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 51(1), pages 77-86.
    44. Zan Yang & Shuping Wu & Yanhao Shen, 2017. "Monetary Policy, House Prices, and Consumption in China: A National and Regional Study," International Real Estate Review, Global Social Science Institute, vol. 20(1), pages 23-49.
    45. Ignazio Angeloni & Anil K. Kashyap & Benoit Mojon & Daniele Terlizzese, 2003. "The Output Composition Puzzle: A Difference in the Monetary Transmission Mechanism in the Euro Area and U.S," NBER Working Papers 9985, National Bureau of Economic Research, Inc.
    46. Edward E. Leamer, 2007. "Housing IS the Business Cycle," NBER Working Papers 13428, National Bureau of Economic Research, Inc.
    47. Žukauskas, Vytautas & Hülsmann, Jörg Guido, 2019. "Financial asset valuations: The total demand approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 123-131.
    48. Yetkiner, Hakan & Nazlioglu, Saban, 2018. "Is there an optimal level of housing wealth in the long-run? Theory and evidence," Research in International Business and Finance, Elsevier, vol. 46(C), pages 257-267.
    49. Rossi, Jose Luiz & Delmondes de Carvalho Rossi, Marina & Carvalho Cunha, Daniel, 2019. "Transmission of monetary policy through the wealth channel in Brazil: Does the type of asset matter?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 279-293.
    50. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    51. Frédérique Savignac, 2017. "Do wealth inequalities have an impact on consumption?," Rue de la Banque, Banque de France, issue 42, april..
    52. Pedro S. Amaral, 2017. "Monetary Policy and Inequality," Economic Commentary, Federal Reserve Bank of Cleveland, issue January.
    53. Luigi Oddo & Mile Bosnjak, 2021. "A comparative analysis of the monetary policy transmission channels in the U.S: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 53(38), pages 4448-4463, August.

  21. Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
    See citations under working paper version above.
  22. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    See citations under working paper version above.
  23. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    See citations under working paper version above.
  24. Lettau, Martin & Gong, Gang & Semmler, Willi, 2001. "Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions," Journal of Economic Behavior & Organization, Elsevier, vol. 44(1), pages 85-103, January.

    Cited by:

    1. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
    2. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, April.
    3. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
    4. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    5. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.

  25. Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.
    See citations under working paper version above.
  26. Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.

    Cited by:

    1. Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation (Subsequently published in "The B.E. Journal of Macroeconomics (Topics in Macroeconomics)", 2006, Vol. 6, Issue 3, Arti," CARF F-Series CARF-F-069, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo.
    3. Saziye Gaziog-super-˜lu & Azize Bastıyalı-Hayfavi, 2010. "Stochastic optimization applied to self-financing portfolio: does bequest matter?," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3831-3838.

  27. Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, vol. 89(1), pages 148-174, March.

    Cited by:

    1. M. Shubik & N.J. Vriend, 1998. "A Behavioral Approach to a Strategic Market Game," Working Papers 395, Queen Mary University of London, School of Economics and Finance.
    2. Juan Montoro-Pons & Francisco Garcia-Sobrecases, 2003. "A Computational Approach to the Collective Action Problem: Assessment of Alternative Learning Rules," Computational Economics, Springer;Society for Computational Economics, vol. 21(1), pages 137-151, February.
    3. Ömer Özak, 2012. "Optimal consumption under uncertainty, liquidity constraints, and bounded rationality," Departmental Working Papers 1204, Southern Methodist University, Department of Economics.
    4. Murat Yildizoglu & Marc-Alexandre Sénégas & Isabelle Salle & Martin Zumpe, 2011. "Learning the optimal buffer-stock consumption rule of Carroll," Working Papers halshs-00573689, HAL.
    5. Francesco Busato & Bruno Chiarini & Elisabetta Marzano, 2008. "Consumption and income smoothing," Applied Economics, Taylor & Francis Journals, vol. 40(17), pages 2191-2207.
    6. Ariel Pakes, 2000. "A Framework for Applied Dynamic Analysis in I.O," NBER Working Papers 8024, National Bureau of Economic Research, Inc.
    7. Rostam-Afschar, Davud & Meissner, Thomas, 2014. "Do tax cuts increase consumption? An experimental test of Ricardian Equivalence," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100348, Verein für Socialpolitik / German Economic Association.
    8. Jasmina Arifovic & Alexander Karaivanov, 2007. "Learning by Doing vs. Learning from Others in a Principal-Agent Model," Discussion Papers dp07-24, Department of Economics, Simon Fraser University.
    9. Philippe Jehiel, 2022. "Analogy-Based Expectation Equilibrium and Related Concepts:Theory, Applications, and Beyond," PSE Working Papers halshs-03735680, HAL.
    10. Sergey Slobodyan & Andreas Ortmann, 2004. "(The Evolution of) Post-Secondary Education: A Computational Model and Experiments," Computing in Economics and Finance 2004 318, Society for Computational Economics.
    11. Binswanger, J., 2008. "Towards Understanding Life Cycle Saving Of Boundedly Rational Agents : A Model With Feasibility Goals - Replaced by CentER Discussion Paper 2010-138," Discussion Paper 2008-14, Tilburg University, Center for Economic Research.
    12. Scott, Andrew & Ellison, Martin, 2009. "Learning and Price Volatility in Duopoly Models of Resource Depletion," CEPR Discussion Papers 7378, C.E.P.R. Discussion Papers.
    13. Houser, Daniel & Winter, Joachim, 2000. "Time preference and decision rules in a price search experiment," Sonderforschungsbereich 504 Publications 01-34, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    14. Massenot, Baptiste, 2020. "Pain of Paying in a Business Cycle Model," SAFE Working Paper Series 194, Leibniz Institute for Financial Research SAFE, revised 2020.
    15. Arifovic, Jasmina & Yıldızoğlu, Murat, 2019. "Learning the Ramsey outcome in a Kydland & Prescott economy," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 191-208.
    16. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
    17. Duffy, John, 2006. "Agent-Based Models and Human Subject Experiments," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 19, pages 949-1011, Elsevier.
    18. Jim Malley & Hassan Molana, 2002. "The Life-Cycle-Permanent-Income Model: A Reinterpretation and Supporting Evidence," Working Papers 2002_17, Business School - Economics, University of Glasgow.
    19. Sumit Agarwal & Dan Aaronson & Eric French, 2008. "The Consumption Response to Minimum Wage Hikes," 2008 Meeting Papers 379, Society for Economic Dynamics.
    20. Axel Borsch-Supan & Lothar Essig, 2003. "Household Saving in Germany: Results of the first SAVE study," NBER Working Papers 9902, National Bureau of Economic Research, Inc.
    21. Peter Howitt & Ömer Özak, 2009. "Adaptive Consumption Behavior," NBER Working Papers 15427, National Bureau of Economic Research, Inc.
    22. Jim Malley & Apostolis Philippopoulos, 2000. "Economic Growth and Endogenous Fiscal Policy: In Search of a Data Consistent General Equilibrium Model," CESifo Working Paper Series 235, CESifo.
    23. Fabio D'Orlando & Eleonora Sanfilippo, 2008. "Behavioral Foundations for the Keynesian Consumption Function," Working Papers 2008-05, Universita' di Cassino, Dipartimento di Economia e Giurisprudenza.
    24. Houser, Daniel & Winter, Joachim, 2004. "How Do Behavioral Assumptions Affect Structural Inference? Evidence from a Laboratory Experiment," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 64-79, January.
    25. Juan González-Hernández & Raquiel López-Martínez & J. Pérez-Hernández, 2007. "Markov control processes with randomized discounted cost," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(1), pages 27-44, February.
    26. Francetich, Alejandro & Kreps, David, 2020. "Choosing a good toolkit, I: Prior-free heuristics," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    27. Ralf Rodepeter & Joachim K. Winter, 2000. "Rules of Thumb in Life-Cycle Savings Models," Econometric Society World Congress 2000 Contributed Papers 1222, Econometric Society.
    28. Daniel Aaronson & Sumit Agarwal & Eric French, 2008. "The consumption response to minimum wage increases," Working Paper Series WP-07-23, Federal Reserve Bank of Chicago.
    29. Binswanger, J., 2010. "Towards Understanding Life Cycle Savings of Boundedly Rational Agents : A Model with Feasibility Goals (Revision of DP 2008-14)," Discussion Paper 2010-138, Tilburg University, Center for Economic Research.
    30. Orlando Gomes, 2021. "Growth theory under heterogeneous heuristic behavior," Journal of Evolutionary Economics, Springer, vol. 31(2), pages 533-571, April.
    31. Johannes Binswanger, 2011. "Dynamic decision making with feasibility goals: A procedural-rationality approach," Post-Print hal-00989522, HAL.
    32. Salle, Isabelle & Seppecher, Pascal, 2016. "Social Learning About Consumption," Macroeconomic Dynamics, Cambridge University Press, vol. 20(7), pages 1795-1825, October.
    33. Binswanger, Johannes, 2012. "Life cycle saving: Insights from the perspective of bounded rationality," European Economic Review, Elsevier, vol. 56(3), pages 605-623.
    34. Malley, Jim & Philippopoulos, Apostolis & Economides, George, 2002. "Testing for tax smoothing in a general equilibrium model of growth," European Journal of Political Economy, Elsevier, vol. 18(2), pages 301-315, June.
    35. Gardebroek, Cornelis & Oude Lansink, Alfons G.J.M., 2008. "Dynamic Microeconometric Approaches To Analysing Agricultural Policy," 107th Seminar, January 30-February 1, 2008, Sevilla, Spain 6592, European Association of Agricultural Economists.
    36. Artem Kuriksha, 2021. "An Economy of Neural Networks: Learning from Heterogeneous Experiences," Papers 2110.11582, arXiv.org.
    37. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
    38. Daniel Houser & Michael Keane & Kevin McCabe, 2002. "Behavior in a dynamic decision problem: An analysis of experimental evidence using a bayesian type classification algorithm," Experimental 0211001, University Library of Munich, Germany.
    39. Orlando Gomes, 2021. "Hand-to-mouth consumers, rule-of-thumb savers, and optimal control," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 229-263, April.
    40. Arthur Charpentier & Romuald Élie & Carl Remlinger, 2023. "Reinforcement Learning in Economics and Finance," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 425-462, June.
    41. Schunk, Daniel, 2005. "Search behaviour with reference point preferences : theory and experimental evidence," Papers 05-12, Sonderforschungsbreich 504.
    42. Daria Pignalosa, 2021. "The Euler Equation Approach: Critical Implications of Recent Developments in the Theory of Intertemporal Choice," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 1-43, June.
    43. Juan D. Montoro-Pons, 2000. "Collective Action, Free Riding And Evolution," Computing in Economics and Finance 2000 279, Society for Computational Economics.
    44. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.
    45. Daniel Himarios, 2000. "How Forward Looking Are Consumers? Further Evidence for the United States," Southern Economic Journal, John Wiley & Sons, vol. 66(4), pages 991-1000, April.
    46. Giles W Story & Ivo Vlaev & Peter Dayan & Ben Seymour & Ara Darzi & Raymond J Dolan, 2015. "Anticipation and Choice Heuristics in the Dynamic Consumption of Pain Relief," PLOS Computational Biology, Public Library of Science, vol. 11(3), pages 1-32, March.
    47. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
    48. Kiichi Tokuoka, 2015. "Do Consumers Learn from Their Own Experiences?," The Japanese Economic Review, Japanese Economic Association, vol. 66(4), pages 466-491, December.
    49. Jim Malley & Hassan Molana, 2003. "The Life-Cycle-Permanent- Income Hypothesis: A Reinterpretation and Supporting Evidence," Dundee Discussion Papers in Economics 138, Economic Studies, University of Dundee.

  28. Lettau, Martin, 1997. "Explaining the facts with adaptive agents: The case of mutual fund flows," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1117-1147, June.

    Cited by:

    1. J. Wiesinger & D. Sornette & J. Satinover, 2013. "Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 41(4), pages 475-492, April.
    2. Todd W. Allen & Christopher D. Carroll, 2001. "Individual Learning About Consumption," NBER Working Papers 8234, National Bureau of Economic Research, Inc.
    3. Rostam-Afschar, Davud & Meissner, Thomas, 2014. "Do tax cuts increase consumption? An experimental test of Ricardian Equivalence," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100348, Verein für Socialpolitik / German Economic Association.
    4. Jasmina Arifovic & Alexander Karaivanov, 2007. "Learning by Doing vs. Learning from Others in a Principal-Agent Model," Discussion Papers dp07-24, Department of Economics, Simon Fraser University.
    5. Jan Palczewsk & Klaus Reiner Schenk-Hoppé & Tongya Wang, 2015. "Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market," Economics Discussion Paper Series 1507, Economics, The University of Manchester.
    6. Aleksandras Vytautas Rutkauskas & Tomas Ramanauskas, 2009. "Building an artificial stock market populated by reinforcement‐learning agents," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 10(4), pages 329-341, September.
    7. Lucia Milone & Paolo Pellizzari, 2009. "Mutual funds flows and the "Sheriff of Nottingham" effect," Working Papers 188, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    8. Goriaev, A.P. & Palomino, F.A. & Prat, A., 2000. "Mutual Fund Tournament : Risk Taking Incentives Induced by Ranking Objectives," Discussion Paper 2000-94, Tilburg University, Center for Economic Research.
    9. Shira Fano & Marco LiCalzi & Paolo Pellizzari, 2013. "Convergence of outcomes and evolution of strategic behavior in double auctions," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 513-538, July.
    10. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2009. "Financial contagion: evolutionary optimization of a multinational agent‐based model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 111-125, January.
    11. Miguel Martinez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 199-218.
    12. Chen, Shu-Heng & Chie, Bin-Tzong, 2008. "Lottery markets design, micro-structure, and macro-behavior: An ACE approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 463-480, August.
    13. Alejandro Reveiz Herault, 2008. "Artificial Markets under a Complexity Perspective," Borradores de Economia 4616, Banco de la Republica.
    14. Chueh-Yung Tsao & Ya-Chi Huang, 2018. "Revisiting the issue of survivability and market efficiency with the Santa Fe Artificial Stock Market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 537-560, October.
    15. Palomino, F.A., 1997. "Relative Performance Equilibrium in Financial Markets," Discussion Paper 1997-99, Tilburg University, Center for Economic Research.
    16. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics.
    17. Noe, Thomas H. & Rebello, Michael & Wang, Jun, 2012. "Learning to bid: The design of auctions under uncertainty and adaptation," Games and Economic Behavior, Elsevier, vol. 74(2), pages 620-636.
    18. Igan, Deniz & Pinheiro, Marcelo, 2012. "The effects of relative performance objectives on financial markets," MPRA Paper 43452, University Library of Munich, Germany.
    19. Palomino, Frederic, 2005. "Relative performance objectives in financial markets," Journal of Financial Intermediation, Elsevier, vol. 14(3), pages 351-375, July.
    20. Witte, Björn-Christopher, 2011. "Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," BERG Working Paper Series 81, Bamberg University, Bamberg Economic Research Group.
    21. Smith, Peter, 2004. "Reworking the Standard Model of Competitive Markets: The Role of Fuzzy Logic and Genetic Algorithms in Modelling Complex Non-Linear Economic System," General Discussion Papers 30569, University of Manchester, Institute for Development Policy and Management (IDPM).
    22. Jaqueson K. Galimberti & Sergio da Silva, 2012. "An empirical case against the use of genetic-based learning classifier systems as forecasting devices," Economics Bulletin, AccessEcon, vol. 32(1), pages 354-369.
    23. Luo, Guo Ying, 2003. "Evolution, efficiency and noise traders in a one-sided auction market," Journal of Financial Markets, Elsevier, vol. 6(2), pages 163-197, April.
    24. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
    25. Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics.
    26. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
    27. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
    28. Igan, Deniz & Pinheiro, Marcelo, 2016. "Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets," Journal of Financial Transformation, Capco Institute, vol. 43, pages 144-157.
    29. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Evolutionary Frequency and Forecasting Accuracy: Simulations Based on an Agent-Based Artificial Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 79-104, June.
    30. Paolo Pin, 2006. "Selection matters," Working Papers 138, Department of Applied Mathematics, Università Ca' Foscari Venezia.
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Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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