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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
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Cited by:
- Michael Bauer & Mikhail Chernov, 2024.
"Interest Rate Skewness and Biased Beliefs,"
Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
- Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- 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.
- Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
- Galvão, Ana Beatriz, 2013.
"Changes in predictive ability with mixed frequency data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Amihud, Yakov & Hurvich, Clifford M., 2004.
"Predictive Regressions: A Reduced-Bias Estimation Method,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(4), pages 813-841, December.
- Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, University Library of Munich, Germany.
- Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015.
"A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion,"
Working Papers
741, Queen Mary University of London, School of Economics and Finance.
- Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
- Goncalves, Silvia & Kilian, Lutz, 2004.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
- Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank.
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank.
- GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques.
- Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Silvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
- GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Philippe Mueller & Andrea Vedolin & Hao Zhou, 2019.
"Short-Run Bond Risk Premia,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 1-34, September.
- Mueller, Philippe & Vedolin, Andrea & Zhou, Hao, 2011. "Short run bond risk premia," LSE Research Online Documents on Economics 119065, London School of Economics and Political Science, LSE Library.
- Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers dp686, Financial Markets Group.
- Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
- Mark, Nelson C. & Sul, Donggyu, 2001.
"Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel,"
Journal of International Economics, Elsevier, vol. 53(1), pages 29-52, February.
- Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics.
- Zheyao Pan, 2018. "A state‐price volatility index for the U.S. government bond market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 573-597, November.
- Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Issler, João Victor & Soares, Ana Flávia, 2019. "Central Bank credibility and inflation expectations: a microfounded forecasting approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 812, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Matthew Baron & Wei Xiong, 2017.
"Credit Expansion and Neglected Crash Risk,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 713-764.
- Matthew Baron & Wei Xiong, 2016. "Credit Expansion and Neglected Crash Risk," NBER Working Papers 22695, National Bureau of Economic Research, Inc.
- Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021.
"Integration and Disintegration of EMU Government Bond Markets,"
Econometrics, MDPI, vol. 9(1), pages 1-17, March.
- Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Neely, Christopher J. & Weller, Paul, 2000.
"Predictability in International Asset Returns: A Reexamination,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 601-620, December.
- Christopher J. Neely & Paul A. Weller, 1999. "Predictability in international asset returns: a reexamination," Working Papers 1997-010, Federal Reserve Bank of St. Louis.
- Hjalmarsson, Erik, 2008.
"Interpreting long-horizon estimates in predictive regressions,"
Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
- Erik Hjalmarsson, 2008. "Interpreting long-horizon estimates in predictive regressions," International Finance Discussion Papers 928, Board of Governors of the Federal Reserve System (U.S.).
- Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
- Kalotay, Egon & Gray, Philip & Sin, Samantha, 2007. "Consumer expectations and short-horizon return predictability," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3102-3124, October.
- Peter Lildholdt & Anne Vila-Wetherilt, 2004.
"Anticipation Of Monetary Policy In UK Financial Markets,"
Royal Economic Society Annual Conference 2004
20, Royal Economic Society.
- Peter Lildholdt & Anne Vila Wetherilt, 2004. "Anticipation of monetary policy in UK financial markets," Bank of England working papers 241, Bank of England.
- Castro, Andressa Monteiro de & Issler, João Victor, 2016.
"Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
- Castro, Andressa Souza Campos Monteiro & Issler, João Victor, 2015. "Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 767, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Clark, Todd E. & McCracken, Michael W., 2012.
"In-sample tests of predictive ability: A new approach,"
Journal of Econometrics, Elsevier, vol. 170(1), pages 1-14.
- Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Working Papers 2009-051, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Research Working Paper RWP 09-10, Federal Reserve Bank of Kansas City.
- Zhanglong Wang & Kent Wang & Zheyao Pan, 2015. "Conditional equity risk premia and realized variance jump risk," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 295-317, May.
- Swanson, Eric T., 2021.
"Measuring the effects of federal reserve forward guidance and asset purchases on financial markets,"
Journal of Monetary Economics, Elsevier, vol. 118(C), pages 32-53.
- Eric Swanson, 2016. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," 2016 Meeting Papers 1222, Society for Economic Dynamics.
- Eric T. Swanson, 2017. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," NBER Working Papers 23311, National Bureau of Economic Research, Inc.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Department of Economics, Working Paper Series qt124628cx, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, University Library of Munich, Germany.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Leo de Haan & Sarah Holton & Jan Willem van den End, 2021.
"The impact of central bank liquidity support on banks’ sovereign exposures,"
Applied Economics, Taylor & Francis Journals, vol. 53(15), pages 1788-1806, March.
- de Haan, Leo & Holton, Sarah & van den End, Jan Willem, 2019. "The impact of central bank liquidity support on banks’ balance sheets," Working Paper Series 2326, European Central Bank.
- Ren, Yu & Tu, Yundong & Yi, Yanping, 2019. "Balanced predictive regressions," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 118-142.
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004.
"Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
- Ben S. Bernanke & Vincent Reinhart & Brian P. Sack, 2004. "Monetary policy alternatives at the zero bound: an empirical assessment," Finance and Economics Discussion Series 2004-48, Board of Governors of the Federal Reserve System (U.S.).
- Clark, Todd E. & West, Kenneth D., 2006.
"Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis,"
Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
- Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City.
- Dunbar, Kwamie, 2021. "Pricing the hedging factor in the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- De Santis, Roberto A., 2016. "Credit spreads, economic activity and fragmentation," Working Paper Series 1930, European Central Bank.
- Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
- Legendre, François & Togola, Djibril, 2016.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
- François Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem: the continuous-time detour," Erudite Working Paper 2015-01, Erudite.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
- François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
- Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
- Wagner, Moritz & Lee, John Byong-Tek & Margaritis, Dimitris, 2022.
"Mutual fund flows and seasonalities in stock returns,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Moritz Wagner & John Byong-Tek Lee & Dimitris Margaritis, 2018. "Mutual Fund Flows and Seasonalities in Stock Returns," Working Papers in Economics 18/17, University of Canterbury, Department of Economics and Finance.
- Kostakis, Alexandros & Magdalinos, Tassos & Stamatogiannis, Michalis P., 2023. "Taking stock of long-horizon predictability tests: Are factor returns predictable?," Journal of Econometrics, Elsevier, vol. 237(2).
- Engsted, Tom & Pedersen, Thomas Q., 2010.
"The dividend-price ratio does predict dividend growth: International evidence,"
Journal of Empirical Finance, Elsevier, vol. 17(4), pages 585-605, September.
- Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
- 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.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Danielsson, Jon & Ergun, Lerby M. & Haan, Laurens de & Vries, Casper G. de, 2016.
"Tail index estimation: quantile driven threshold selection,"
LSE Research Online Documents on Economics
66193, London School of Economics and Political Science, LSE Library.
- Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries, 2019. "Tail Index Estimation: Quantile-Driven Threshold Selection," Staff Working Papers 19-28, Bank of Canada.
- 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).
- 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.
- Robin Greenwood & Samuel G. Hanson, 2010. "Issuer Quality and Corporate Bond Returns," Harvard Business School Working Papers 11-065, Harvard Business School.
- Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
- T.J. Flavin & M.R. Wickens, 2003.
"Macroeconomic influences on optimal asset allocation,"
Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 207-231.
- Flavin, T. J. & Wickens, M. R., 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, vol. 12(2), pages 207-231.
- Wickens, Michael R. & Flavin, Thomas, 2002. "Macroeconomic Influences on Optimal Asset Allocation," CEPR Discussion Papers 3144, C.E.P.R. Discussion Papers.
- Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2017. "The term structure of credit spreads and business cycle in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 45(C), pages 27-36.
- Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
- Capozza, Dennis R. & Seguin, Paul J., 1996.
"Expectations, efficiency, and euphoria in the housing market,"
Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 369-386, June.
- Dennis R. Capozza & Paul J. Seguin, 1995. "Expectations, Efficiency, and Euphoria in the Housing Market," NBER Working Papers 5179, National Bureau of Economic Research, Inc.
- Ayelen Banegas, 2016. "Predictability of Growth in Emerging Markets: Information in Financial Aggregates," International Finance Discussion Papers 1174, Board of Governors of the Federal Reserve System (U.S.).
- Jessica A. Wachter, 2013.
"Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?,"
Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
- Jessica Wachter, 2008. "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers 944, Society for Economic Dynamics.
- Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc.
- Lee, King Fuei, 2011. "Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US," MPRA Paper 46350, University Library of Munich, Germany.
- 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.
- Gianluca Stefani & Marco Tiberti, 2016.
"Multiperiod optimal hedging ratios: methodological aspects and application to a wheat market,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 43(3), pages 503-531.
- Gianluca, Stefani & Tiberti, Marco, 2014. "Multiperiod optimal hedging ratios: Methodological aspects and application to wheat markets," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182787, European Association of Agricultural Economists.
- Nitschka Thomas, 2010.
"International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets,"
German Economic Review, De Gruyter, vol. 11(4), pages 527-544, December.
- 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.
- Thomas Nitschka, 2007. "International evidence for return predictability and the implications for long-run covariation of the G7 stock markets," IEW - Working Papers 338, Institute for Empirical Research in Economics - University of Zurich.
- Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-239, July.
- 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.
- John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
- Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
- Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
- Campbell, Sean D. & Diebold, Francis X., 2009.
"Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 266-278.
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock returns and expected business conditions: half a century of direct evidence," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," PIER Working Paper Archive 05-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 16 Sep 2005.
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc.
- Campbell, Sean D. & Diebold, Francis X., 2005. "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series 2005/22, Center for Financial Studies (CFS).
- Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
- John Y. Campbell, 2008.
"Viewpoint: Estimating the equity premium,"
Canadian Journal of Economics, Canadian Economics Association, vol. 41(1), pages 1-21, February.
- John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 1-21, February.
- Ludvigson, Sydney C. & Ng, Serena, 2007.
"The empirical risk-return relation: A factor analysis approach,"
Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
- Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Valkanov, Rossen, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management qt67b2h2gb, Anderson Graduate School of Management, UCLA.
- Helmut Herwartz & Leonardo Morales-Arias, 2009. "In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors," The European Journal of Finance, Taylor & Francis Journals, vol. 15(1), pages 1-28.
- Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
- Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
- Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
- 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.
- John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
- John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lettau, Martin & Ludvigson, Sydney C., 2005.
"Expected returns and expected dividend growth,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Beeler, Jason & Campbell, John Y., 2012.
"The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment,"
Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
- Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
- Eduardo Walker, 1998. "Mercado Accionario y Crecimiento Económico en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 49-72.
- David Haab & Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
- Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2022.
"The credit spread curve distribution and economic fluctuations in Japan,"
Journal of International Money and Finance, Elsevier, vol. 122(C).
- OKIMOTO Tatsuyoshi & TAKAOKA Sumiko, 2020. "The Credit Spread Curve Distribution and Economic Fluctuations in Japan," Discussion papers 20030, Research Institute of Economy, Trade and Industry (RIETI).
- John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013.
"A multivariate model of strategic asset allocation,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 39, pages 809-848,
World Scientific Publishing Co. Pte. Ltd..
- Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80, January.
- John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
- Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
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