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Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations

Citations

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Cited by:

  1. Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018. "Investment, Tobin’s q, and interest rates," Journal of Financial Economics, Elsevier, vol. 130(3), pages 620-640.
  2. Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
  3. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
  4. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
  5. Kuehn Lars-Alexander & Petrosky-Nadeau Nicolas & Zhang Lu, "undated". "An Equilibrium Asset Pricing Model with Labor Market Search," GSIA Working Papers 2010-E63, Carnegie Mellon University, Tepper School of Business.
  6. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  7. Mortal, Sandra C. & Schill, Michael J., 2018. "The role of firm investment in momentum and reversal," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 255-278.
  8. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
  9. Gourio, Francois & Kashyap, Anil K, 2007. "Investment spikes: New facts and a general equilibrium exploration," Journal of Monetary Economics, Elsevier, vol. 54(Supplemen), pages 1-22, September.
  10. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
  11. repec:ebl:ecbull:v:3:y:2005:i:30:p:1-13 is not listed on IDEAS
  12. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  13. Mumtaz, Haroon & Zanetti, Francesco, 2015. "Factor adjustment costs: A structural investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 341-355.
  14. Rodrigo A. Cerda & José Tomás Valente, 2022. "The role of capital taxation on the business cycle: the case of Chile, 1960–2019," Economic Change and Restructuring, Springer, vol. 55(1), pages 83-108, February.
  15. Sazali Abidin & Krishna Reddy & Liehui Chen, 2012. "Determinants of ownership structure and performance of seasoned equity offerings," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 304-331, September.
  16. 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).
  17. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
  18. Arthur Thomas & Olivier Massol & Benoît Sévi, 2019. "How are day-ahead prices informative for predicting the next day’s consumption of natural gas?," Post-Print hal-04319396, HAL.
  19. Kusnadi, Yuanto & Wei, K.C. John, 2017. "The equity-financing channel, the catering channel, and corporate investment: International evidence," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 236-252.
  20. 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.
  21. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
  22. Sung Gyun Mun & SooCheong (Shawn) Jang, 2022. "Explaining the asset growth anomaly in the restaurant industry: Motivations and consequences," Tourism Economics, , vol. 28(1), pages 62-82, February.
  23. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  24. Bianconi, Marcelo, 2003. "Private information, growth, and asset prices with stochastic disturbances," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 1-24.
  25. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
  26. Hou, Kewei & Xue, Chen & Zhang, Lu, 2012. "Digesting Anomalies: An Investment Approach," Working Paper Series 2012-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  27. Chambers, Robert G. & Quiggin, John, 2009. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 730-737, December.
  28. Joshua Aizenman & Reuven Glick, 2009. "Sterilization, Monetary Policy, and Global Financial Integration," Review of International Economics, Wiley Blackwell, vol. 17(4), pages 777-801, September.
  29. Matos, Paulo Rogério Faustino & Costa, Carlos Eugênio da & Issler, João Victor, 2007. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 649, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  30. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
  31. Yacine AÏT‐SAHALI & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
  32. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  33. Winston Wei Dou & Yan Ji & David Reibstein & Wei Wu, 2021. "Inalienable Customer Capital, Corporate Liquidity, and Stock Returns," Journal of Finance, American Finance Association, vol. 76(1), pages 211-265, February.
  34. Md Safiullah & Abul Shamsuddin, 2021. "Asset pricing factors in Islamic equity returns," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 523-554, June.
  35. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182, National Bureau of Economic Research, Inc.
  36. Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
  37. Wong, Michael Chak-sham & Cheung, Yan-Leung, 1999. "The practice of investment management in Hong Kong: market forecasting and stock selection," Omega, Elsevier, vol. 27(4), pages 451-465, August.
  38. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
  39. Angela J Black & Bin Mao & David G McMillan, 2009. "The value premium and economic activity: Long-run evidence from the United States," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 305-317, December.
  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. Dockner, Engelbert J. & Siyahhan, Baran, 2015. "Value and risk dynamics over the innovation cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 1-16.
  42. Chambers, Robert G. & Quiggin, John, 2008. "Narrowing the no-arbitrage bounds," Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
  43. 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.
  44. Inga Heiland, 2017. "Five Essays on International Trade, Factor Flows and the Gains from Globalization," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 74.
  45. Wikrom Prombutr & Chanwit Phengpis & Ying Zhang, 2023. "Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 43-71.
  46. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
  47. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
  48. Nicholas Apergis & James E. Payne, 2013. "New Evidence on the Information and Predictive Content of the Baltic Dry Index," IJFS, MDPI, vol. 1(3), pages 1-19, July.
  49. Cooper, Ilan & Priestley, Richard, 2011. "Real investment and risk dynamics," Journal of Financial Economics, Elsevier, vol. 101(1), pages 182-205, July.
  50. Parantap Basu, 2006. "Understanding Labour Market Frictions: A Tobin’s Q Approach," CDMA Conference Paper Series 0601, Centre for Dynamic Macroeconomic Analysis.
  51. Claudio Campanale & Rui Castro & Gian Luca Clementi, 2010. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 379-402, April.
  52. Kanis Saengchote, 2020. "Profitability, Investment and Asset Pricing: Reconciling the Valuation and the q-Theory Approaches in the Thai Stock Market," PIER Discussion Papers 124, Puey Ungphakorn Institute for Economic Research.
  53. Sulaiman, Nadzri & Masih, Mansur, 2017. "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper 110154, University Library of Munich, Germany.
  54. Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
  55. Belo, Frederico & Lin, Xiaoji, 2012. "Labor Heterogeneity and Asset Prices: The Importance of Skilled Labor," Working Paper Series 2012-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  56. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  57. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
  58. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
  59. Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
  60. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
  61. Ellen R. McGrattan & Edward C. Prescott, 2000. "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Fall), pages 20-40.
  62. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
  63. Heiland, Inga, 2016. "Global Risk Sharing Through Trade in Goods and Assets: Theory and Evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change 145821, Verein für Socialpolitik / German Economic Association.
  64. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  65. Ron Alquist & Menzie D. Chinn, 2008. "Conventional and unconventional approaches to exchange rate modelling and assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 2-13.
  66. Frederico Belo & Xiaoji Lin & Santiago Bazdresch, 2014. "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Journal of Political Economy, University of Chicago Press, vol. 122(1), pages 129-177.
  67. Marco Taboga, 2014. "The Riskiness of Corporate Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 693-713, June.
  68. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
  69. Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
  70. Shaukat, Badiea & Zhu, Qigui & Khan, M. Ijaz, 2019. "Real interest rate and economic growth: A statistical exploration for transitory economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  71. Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
  72. Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and Investment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 379-431.
  73. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
  74. Frederico Belo & Jun Li & Xiaoji Lin & Xiaofei Zhao, 2017. "Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor," The Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3669-3709.
  75. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
  76. Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
  77. Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, February.
  78. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
  79. Ling-Ni Boon & Florian Ielpo, 2016. "An anatomy of global risk premiums," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 229-243, July.
  80. Giau Bui, Dien & Chen, Yehning & Lin, Chih-Yung & Lin, Tse-Chun, 2021. "Risk-taking of bank CEOs and corporate innovation," Journal of International Money and Finance, Elsevier, vol. 115(C).
  81. Rida Ahroum & Boujemâa Achchab, 2021. "Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 430-444, January.
  82. Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
  83. Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
  84. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  85. Katherine A. Smith, 2011. "Can Financing Constraints Explain The Asset Pricing Puzzles In Production Economies?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(3), pages 739-765, August.
  86. K. J. Martijn Cremers & Vinay B. Nair & Kose John, 2009. "Takeovers and the Cross-Section of Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(4), pages 1409-1445, April.
  87. 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.
  88. 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).
  89. Neal Galpin, 2020. "Cash holdings, costly financing and the q theory of returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 1149-1174, April.
  90. Cao, Viet Nga & Gray, Philip & Zhong, Angel, 2019. "Investment-related anomalies in Australia: Evidence and explanations," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 97-109.
  91. 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.
  92. Yashiv, Eran, 2007. "Labor search and matching in macroeconomics," European Economic Review, Elsevier, vol. 51(8), pages 1859-1895, November.
  93. Yiwen (Paul) Dou & David R. Gallagher & David Schneider & Terry S. Walter, 2012. "Out-of-sample stock return predictability in Australia," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 461-479, December.
  94. Yuanbo Qiao & Xiaoyan Shao & Zhuolin Han & Hao Duan, 2023. "The Impact of Investments in Physical Capital, Labor, and Knowledge Capital on Enterprise Market Value: Estimation and Optimization," Mathematics, MDPI, vol. 11(18), pages 1-19, September.
  95. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
  96. Cooper, Ilan & Priestley, Richard, 2016. "The expected returns and valuations of private and public firms," Journal of Financial Economics, Elsevier, vol. 120(1), pages 41-57.
  97. Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
  98. Qi Lin, 2020. "Idiosyncratic momentum and the cross‐section of stock returns: Further evidence," European Financial Management, European Financial Management Association, vol. 26(3), pages 579-627, June.
  99. Joao F. Gomes & Amir Yaron & Lu Zhang, 2003. "Asset Prices and Business Cycles with Costly External Finance," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 767-788, October.
  100. Li, Dongmei & Zhang, Lu, 2010. "Does q-theory with investment frictions explain anomalies in the cross section of returns?," Journal of Financial Economics, Elsevier, vol. 98(2), pages 297-314, November.
  101. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  102. Georgios A. Papanastasopoulos, 2014. "Accounting Accruals and Stock Returns: Evidence from European Equity Markets," European Accounting Review, Taylor & Francis Journals, vol. 23(4), pages 729-768, December.
  103. François Legrand & Xavier Ragot, 2016. "Optimal policy with heterogeneous agents and aggregate shocks : An application to optimal public debt dynamics," 2016 Meeting Papers 1272, Society for Economic Dynamics.
  104. McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
  105. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  106. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
  107. Woon Gyu Choi, 2007. "Measuring Interest Rates as Determined by Thrift and Productivity," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 167-195, May.
  108. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Security Analysis: An Investment Perspective," NBER Working Papers 26060, National Bureau of Economic Research, Inc.
  109. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
  110. Lee Tae-Hwy & Mao Millie Yi & Ullah Aman, 2021. "Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 1-19, January.
  111. Fangxiong Gong & Roberto Mariano, 1997. "Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 147-169, May.
  112. Papanastasopoulos, Georgios & Thomakos, Dimitrios & Wang, Tao, 2011. "Information in balance sheets for future stock returns: Evidence from net operating assets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 269-282.
  113. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
  114. Byoung‐Kyu Min & Jangkoo Kang & Changjun Lee & Tai‐Yong Roh, 2020. "The q‐Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 897-921, December.
  115. 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.).
  116. Thorsten Lehnert, 2022. "Corporate managers, price noise and the investment factor," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-18, December.
  117. Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  118. Xiaoji Lin & Fan Yang & Frederico Belo, 2014. "External Equity Financing Costs, Financial Flows, and Asset Prices," 2014 Meeting Papers 863, Society for Economic Dynamics.
  119. Robert E. Hall, 2001. "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, vol. 91(5), pages 1185-1202, December.
  120. Bae, Jaewan & Kang, Jangkoo, 2022. "The negative hiring rate premium on stock returns in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  121. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 345-362, October.
  122. David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group.
  123. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 363-386, December.
  124. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
  125. Luiz Félix & Roman Kräussl & Philip Stork, 2019. "Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(4), pages 385-407, October.
  126. Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020. "High-dimensional predictive regression in the presence of cointegration," Journal of Econometrics, Elsevier, vol. 219(2), pages 456-477.
  127. repec:zbw:bofrdp:1995_034 is not listed on IDEAS
  128. Yao, Tong & Yu, Tong & Zhang, Ting & Chen, Shaw, 2011. "Asset growth and stock returns: Evidence from Asian financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 115-139, January.
  129. Leonid Kogan & Dimitris Papanikolaou, 2014. "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(2), pages 675-718, April.
  130. Griffin, Paul A. & Hong, Hyun A. & Ryou, Ji Woo, 2018. "Corporate innovative efficiency: Evidence of effects on credit ratings," Journal of Corporate Finance, Elsevier, vol. 51(C), pages 352-373.
  131. Zhang, Xiaoge, 2022. "Belief-driven growth slowdowns and zero-bounded risk-free rate," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  132. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
  133. Owen A. Lamont, 2000. "Investment Plans and Stock Returns," Journal of Finance, American Finance Association, vol. 55(6), pages 2719-2745, December.
  134. João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.
  135. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
  136. Nichol, Eoghan & Dowling, Michael, 2014. "Profitability and investment factors for UK asset pricing models," Economics Letters, Elsevier, vol. 125(3), pages 364-366.
  137. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
  138. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  139. Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
  140. Chen, Long & Zhang, Lu, 2011. "Do time-varying risk premiums explain labor market performance?," Journal of Financial Economics, Elsevier, vol. 99(2), pages 385-399, February.
  141. Butler, Alexander W. & Cornaggia, Jess & Grullon, Gustavo & Weston, James P., 2011. "Corporate financing decisions, managerial market timing, and real investment," Journal of Financial Economics, Elsevier, vol. 101(3), pages 666-683, September.
  142. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
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