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Essays on asset pricing

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  • Koijen, R.S.J.

    (Tilburg University, School of Economics and Management)

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  • Koijen, R.S.J., 2008. "Essays on asset pricing," Other publications TiSEM 75662994-29dc-4a83-a3ff-9, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:75662994-29dc-4a83-a3ff-95fa4a1d28ae
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    References listed on IDEAS

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    1. Wachter, Jessica A. & Warusawitharana, Missaka, 2015. "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
    2. Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
    3. Wermers, Russ & Yao, Tong & Zhao, Jane, 2007. "The investment value of mutual fund portfolio disclosure," CFR Working Papers 06-09, University of Cologne, Centre for Financial Research (CFR).
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    10. Pascal ST-AMOUR, 2007. "Benchmarks in Aggregate Household Portfolios," Cahiers de Recherches Economiques du Département d'économie 07.07, Université de Lausanne, Faculté des HEC, Département d’économie.
    11. Zou, Heng-fu, 1994. "'The spirit of capitalism' and long-run growth," European Journal of Political Economy, Elsevier, vol. 10(2), pages 279-293, July.
    12. James Vickery, 2007. "Interest rates and consumer choice in the residential mortgage market: a summary," Proceedings 1041, Federal Reserve Bank of Chicago.
    13. Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, vol. 56(2), pages 433-470, April.
    14. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(1), pages 63-91, March.
    15. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
    16. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
    17. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
    18. Livio Stracca, 2006. "Delegated Portfolio Management: A Survey Of The Theoretical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 20(5), pages 823-848, December.
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