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Asset Pricing without Garbage

Citations

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Cited by:

  1. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
  2. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
  3. 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.
  4. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
  5. Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari", revised 2021.
  6. Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
  7. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
  8. Shaojun Zhang, 2021. "Limited Risk Sharing and International Equity Returns," Journal of Finance, American Finance Association, vol. 76(2), pages 893-933, April.
  9. Gregory Connor & Robert A Korajczyk, 2024. "Semi-Strong Factors in Asset Returns," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 70-93.
  10. Seda Oz & Steve Fortin, 2023. "Is it time for popcorn? Daily box office earnings and aggregate stock returns," Financial Management, Financial Management Association International, vol. 52(2), pages 375-401, June.
  11. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
  12. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  13. Hitz, Lukas & Mustafi, Ismail H. & Zimmermann, Heinz, 2022. "The pricing of volatility risk in the US equity market," International Review of Financial Analysis, Elsevier, vol. 79(C).
  14. Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 263-297.
  15. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2024. "GMM weighting matrices in cross-sectional asset pricing tests," Journal of Banking & Finance, Elsevier, vol. 162(C).
  16. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
  17. Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
  18. Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
  19. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
  20. Lingwei Kong, 2023. "Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models," Papers 2307.14499, arXiv.org.
  21. Paulo Rogério Faustino Matos, 2019. "The role of household debt and delinquency decisions in consumption-based asset pricing," Annals of Finance, Springer, vol. 15(2), pages 179-203, June.
  22. Chen, Zhanhui & Yang, Bowen, 2019. "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, vol. 133(1), pages 225-249.
  23. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
  24. Po‐Hsuan Hsu & Kai Li & Chi‐Yang Tsou, 2023. "The Pollution Premium," Journal of Finance, American Finance Association, vol. 78(3), pages 1343-1392, June.
  25. Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
  26. Li, Huan, 2020. "Asset pricing with long-run durable expenditure risk," Finance Research Letters, Elsevier, vol. 32(C).
  27. Mykola Babiak & Roman Kozhan, 2021. "Growth Uncertainty, Rational Learning, and Option Prices," CERGE-EI Working Papers wp682, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  28. Zhi Da & Wei Yang & Hayong Yun, 2016. "Household Production and Asset Prices," Management Science, INFORMS, vol. 62(2), pages 387-409, February.
  29. de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
  30. Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
  31. Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
  32. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
  33. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
  34. Lago-Balsalobre, Rubén & Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
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