create a website

Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences. (2024). Lago-Balsalobre, Ruben ; Rojo-Suarez, Javier ; Alonso-Conde, Ana B.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:89:y:2024:i:pa:p:1156-1169.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 60

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Abel, A. Asset prices under habit formation and catching up with the Joneses. 1990 The American Economic Review. 80 38-42

  2. Abel, A. Risk premia and term premia in general equilibrium. 1999 Journal of Monetary Economics. 43 3-33
    Paper not yet in RePEc: Add citation now
  3. Anderson, D. ; Botman, D.P. ; Hunt, B.L. Is Japan's population aging deflationary?. 2014 International Monetary Fund:

  4. Bansal, R. ; Kiku, D. ; Yaron, A. An empirical evaluation of the long-run risks model for asset prices. 2012 Critical Finance Review. 1 183-221

  5. Bansal, R. ; Yaron, A. Risks for the long run: A potential resolution of asset pricing puzzles. 2004 The Journal of Finance. 59 1481-1509

  6. Barroso, P. ; Boons, M. ; Karehnke, P. Time-varying state variable risk premia in the ICAPM. 2021 Journal of Financial Economics. 139 428-451

  7. Basco, S. Globalization and financial development: A model of the dot-com and the housing bubbles. 2014 Journal of International Economics. 92 78-94

  8. Basco, S. Switching bubbles: From outside to inside bubbles. 2016 European Economic Review. 87 236-255

  9. Breeden, D.T. An intertemporal asset pricing model with stochastic consumption and investment opportunities. 1979 Journal of Financial Economics. 7 265-296

  10. Campbell, J.Y. Financial decissions and markets: A course in asset pricing. 2018 Princeton University Press: New Jersey, United States of America
    Paper not yet in RePEc: Add citation now
  11. Campbell, J.Y. Intertemporal asset pricing without consumption data. 1993 The American Economic Review. 83 487-512

  12. Campbell, J.Y. ; Cochrane, J.H. By force of habit: A consumption‐based explanation of aggregate stock market behavior. 1999 Journal of Political Economy. 107 205-251

  13. Campbell, J.Y. ; Shiller, R.J. The dividend-price ratio and expectations of future dividends and discount factors. 1988 Review of Financial Studies. 1 195-228

  14. Cashin, D. ; Unayama, T. Measuring intertemporal substitution in consumption: Evidence from a VAT increase in Japan. 2016 The Review of Economics and Statistics. 98 285-297

  15. Chirinko, R.S. ; Schaller, H. Business fixed investment and "bubbles": The Japanese case. 2001 The American Economic Review. 91 663-680

  16. Cochrane, J.H. Asset Pricing (revised edition). 2005 Princeton University Press: New Jersey, United States of America
    Paper not yet in RePEc: Add citation now
  17. Cochrane, J.H. Financial markets and the real economy. 2008 En : Mehra, R. Handbook of the equity risk premium. Elsevier: Amsterdam, The Netherlands
    Paper not yet in RePEc: Add citation now
  18. Cochrane, J.H. Presidential address: Discount rates. 2011 The Journal of Finance. 66 1047-1108

  19. Cochrane, J.H. Production-based asset pricing and the link between stock returns and economic fluctuations. 1991 The Journal of Finance. 46 209-237

  20. Colacito, R. ; Croce, M.M. International asset pricing with recursive preferences. 2013 The Journal of Finance. 68 2651-2686

  21. Colacito, R. ; Croce, M.M. ; Gavazzoni, F. ; Ready, R. Currency risk factors in a recursive multicountry economy. 2018 The Journal of Finance. 73 2719-2756

  22. Constantinides, G.M. Habit Formation: A resolution of the equity premium puzzle. 1990 Journal of Political Economy. 98 519-543

  23. Constantinides, G.M. ; Ghosh, A. Asset pricing tests with long-run risks in consumption growth. 2011 The Review of Asset Pricing Studies. 1 96-136

  24. Epstein, L.G. ; Zin, S.E. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. 1989 Econometrica. 57 937-969

  25. Epstein, L.G. ; Zin, S.E. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. 1991 Journal of Political Economy. 99 263-286

  26. Fama, E.F. ; French, K.R. A five-factor asset pricing model. 2015 Journal of Financial Economics. 116 1-22

  27. Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56

  28. Fama, E.F. ; French, K.R. International tests of a five-factor asset pricing model. 2017 Journal of Financial Economics. 123 441-463

  29. Gibbons, M. ; Ross, S. ; Shanken, J. A test of efficiency of a given portfolio. 1989 Econometrica. 57 1121-1152

  30. Greenwood, R. ; Shleifer, A. ; You, Y. Bubbles for Fama. 2019 Journal of Financial Economics. 131 20-43
    Paper not yet in RePEc: Add citation now
  31. Griffin, J.M. ; Kelly, P. ; Nardari, F. Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. 2010 Review of Financial Studies. 23 3225-3277

  32. Hall, R.E. Intertemporal substitution in consumption. 1988 Journal of Political Economy. 96 339-357

  33. Hall, R.E. Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence. 1978 Journal of Political Economy. 86 971-987

  34. Hansen, L.P. Large sample properties of generalized method of moments estimators. 1982 Econometrica. 50 1029-1054

  35. Hansen, L.P. ; Hodrick, R.J. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. 1980 Journal of Political Economy. 88 829-853

  36. Havranek, T. ; Horvath, R. ; Irsova, Z. ; Rusnak, M. Cross-country heterogeneity in intertemporal substitution. 2015 Journal of International Economics. 96 100-118

  37. Johannes, M. ; Lochstoer, L.A. ; Mou, Y. Learning about consumption dynamics. 2016 The Journal of Finance. 71 551-600

  38. Kocherlakota, N.R. Disentangling the coefficient of relative risk aversion from the elasticity of intertemporal substitution: An irrelevance result. 1990 The Journal of Finance. 45 175-190

  39. Kreps, D.M. ; Porteus, E.L. Temporal resolution of uncertainty and dynamic choice theory. 1978 Econometrica. 46 185-200

  40. Lee, E. Asset prices with stochastic volatilities and a UIP puzzle. 2019 International Review of Economics & Finance. 64 41-61

  41. Lewellen, J. ; Nagel, S. ; Shanken, J. A skeptical appraisal of asset pricing tests. 2010 Journal of Financial Economics. 96 175-194

  42. Lucas, R.E. Asset prices in an exchange economy. 1978 Econometrica. 46 1429-1445

  43. Ludvigson, S. Consumer confidence and consumer spending. 2004 The Journal of Economic Perspectives. 18 29-50

  44. Martin, A. ; Ventura, J. Economic growth with bubbles. 2012 The American Economic Review. 102 3033-3058

  45. Mehra, R. ; Prescott, E.C. The equity premium: A puzzle. 1985 Journal of Monetary Economics. 15 145-161
    Paper not yet in RePEc: Add citation now
  46. Merton, R. An inter-temporal capital asset pricing model. 1973 Econometrica. 41 867-887

  47. Olivier, J. Growth-enhancing bubbles. 2000 International Economic Review. 41 133-151

  48. Parker, J.A. ; Julliard, C. Consumption risk and the cross section of expected returns. 2005 Journal of Political Economy. 113 185-222

  49. Pastor, L. ; Veronesi, P. Learning in financial markets. 2009 Annual Review of Financial Economics. 1 361-381

  50. Restoy, F. ; Weil, P. Approximate equilibrium asset prices. 2011 Review of Finance. 15 1-28

  51. Roh, T.-Y. ; Lee, C. ; Min, B.-K. Consumption growth predictability and asset prices. 2019 Journal of Empirical Finance. 51 95-118

  52. Rojo-Suárez, J. ; Alonso-Conde, A.B. ; Lago-Balsalobre, R. Industry bubbles and the cross-sectional variation of expected consumption growth. 2021 International Review of Finance. 21 1047-1055
    Paper not yet in RePEc: Add citation now
  53. Rojo-Suárez, J., & Alonso-Conde, A.B. Data for: Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences. 2022 :
    Paper not yet in RePEc: Add citation now
  54. Ruan, X. Ambiguity, long-run risks, and asset prices in continuous time. 2021 International Review of Economics & Finance. 71 115-126

  55. Sanchez, J.M. ; Yurdagul, E. A look at Japan's slowdown and its turnaround plan. 2014 The Regional Economist. 22 5-9

  56. Simo-Kengne, B.D. ; Miller, S.M. ; Gupta, R. ; Aye, G.C. Time-varying effects of housing and stock returns on U.S. Consumption. 2015 The Journal of Real Estate Finance and Economics. 50 339-354

  57. Suzuki, M. A representative agent asset pricing model with heterogeneous beliefs and recursive utility. 2016 International Review of Economics & Finance. 45 298-315

  58. Weil, P. The equity premium puzzle and the risk-free rate puzzle. 1989 Journal of Monetary Economics. 24 401-421

  59. Yogo, M. A consumption-based explanation of expected stock returns. 2006 The Journal of Finance. 61 539-580

  60. Yogo, M. Estimating the elasticity of intertemporal substitution when instruments are weak. 2004 The Review of Economics and Statistics. 86 797-810

Cocites

Documents in RePEc which have cited the same bibliography

  1. Loss Aversion and the Asymmetric Transmission of Monetary Policy. (2014). Santoro, Emiliano ; Pfajfar, Damjan ; Petrella, Ivan ; Gaffeo, Edoardo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10105.

    Full description at Econpapers || Download paper

  2. Behavioral Economics and Macroeconomic Models. (2014). Holden, Steinar ; Driscoll, John.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4785.

    Full description at Econpapers || Download paper

  3. Optimal Taxation in a Habit Formation Economy. (2014). Kuhn, Moritz ; Koehne, Sebastian.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4581.

    Full description at Econpapers || Download paper

  4. Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data. (2012). Wang, Mei ; Rieger, Marc Oliver.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:9:y:2012:i:2:p:63-72.

    Full description at Econpapers || Download paper

  5. Relative status and well-being: evidence from U.S. suicide deaths. (2007). Wilson, Daniel ; Daly, Mary ; Johnson, Norman J..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2007-12.

    Full description at Econpapers || Download paper

  6. Individual Well-Being in a Dynamic Perspective. (2007). D'Ambrosio, Conchita.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp673.

    Full description at Econpapers || Download paper

  7. Identifying the role of labor markets for monetary policy in an estimated DSGE model. (2006). Kuester, Keith ; Christoffel, Kai ; Linzert, Tobias.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200707.

    Full description at Econpapers || Download paper

  8. The frequency of price adjustment and New Keynesian business cycle dynamics. (2006). Dennis, Richard.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-22.

    Full description at Econpapers || Download paper

  9. WOMEN’S LABOR FORCE PARTICIPATION AND THE DYNAMICS OF TRADITION. (2005). Maoz, Yishay ; Hazan, Moshe.
    In: Labor and Demography.
    RePEc:wpa:wuwpla:0507001.

    Full description at Econpapers || Download paper

  10. Habit Persistence, Money Growth Rule and Real Indeterminacy. (2005). Fève, Patrick ; Collard, Fabrice ; Auray, Stéphane.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:1:p:48-67.

    Full description at Econpapers || Download paper

  11. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?. (2005). Uppal, Raman ; Dumas, Bernard ; Kurshev, Alexander.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11803.

    Full description at Econpapers || Download paper

  12. Reference Dependent Preferences and the Impact of Wage Increases on Job Satisfaction: Theory and Evidence. (2005). Sliwka, Dirk ; Grund, Christian.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1879.

    Full description at Econpapers || Download paper

  13. Distribution Risk and Equity Returns. (2005). Danthine, Jean-Pierre ; Siconolfi, Paolo ; Donaldson, John B.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5425.

    Full description at Econpapers || Download paper

  14. A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle. (2004). Imrohoroglu, Selahattin.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0402009.

    Full description at Econpapers || Download paper

  15. Conspicuous Public Goods and Leadership Selection. (2004). Roelfsema, Hein ; Jennings, Colin.
    In: Working Papers.
    RePEc:use:tkiwps:0410.

    Full description at Econpapers || Download paper

  16. Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors. (2004). Keloharju, Matti ; Grinblatt, Mark ; Ikaheimo, Seppo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10226.

    Full description at Econpapers || Download paper

  17. Deep Habits. (2004). Uribe, Martín ; Schmitt-Grohe, Stephanie ; Ravn, Morten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4269.

    Full description at Econpapers || Download paper

  18. Consumption Risk and Cross-Sectional Returns. (2003). Parker, Jonathan ; Julliard, Christian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9538.

    Full description at Econpapers || Download paper

  19. Has Monetary Policy Become More Effective?. (2003). Giannoni, Marc ; Boivin, Jean.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9459.

    Full description at Econpapers || Download paper

  20. Country Spreads and Emerging Countries: Who Drives Whom?. (2003). Yue, Vivian ; Uribe, Martín.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10018.

    Full description at Econpapers || Download paper

  21. The dynamics of consumers expenditure: the UK consumption ECM redux. (2003). Price, Simon ; Blake, Andrew ; Fernandez-Corugedo, Emilio.
    In: Bank of England working papers.
    RePEc:boe:boeewp:204.

    Full description at Econpapers || Download paper

  22. Estimating real interest rates for the United Kingdom. (2003). Larsen, Jens ; Talbot, James ; May, Ben.
    In: Bank of England working papers.
    RePEc:boe:boeewp:200.

    Full description at Econpapers || Download paper

  23. Interpretable Asset Markets?. (2002). Yaron, Amir ; Bansal, Ravi ; Khatachtrian, Varoujan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9383.

    Full description at Econpapers || Download paper

  24. Customer Anger at Price Increases, Time Variation in the Frequency of Price Changes and Monetary Policy. (2002). .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9320.

    Full description at Econpapers || Download paper

  25. Habit Formation and the Persistence of Monetary Shocks. (2002). Ruge-Murcia, Francisco ; Cardia, Emanuela ; Bouakez, Hafedh.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-08.

    Full description at Econpapers || Download paper

  26. The Life-Cycle-Permanent-Income Model: A Reinterpretation and Supporting Evidence. (2002). Molana, Hassan ; Malley, Jim.
    In: Working Papers.
    RePEc:gla:glaewp:2002_17.

    Full description at Econpapers || Download paper

  27. Monetary policy in an estimated stochastic dynamic general equilibrium model of the Euro area. (2002). Wouters, Raf ; Smets, Frank.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2002:i:mar:x:2.

    Full description at Econpapers || Download paper

  28. Consumption and habits : evidence from panel data. (2002). Lopez-Salido, David ; Labeaga, Jose ; carrasco, raquel.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we023415.

    Full description at Econpapers || Download paper

  29. Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns. (2002). Jacobs, Kris ; Wang, Kevin Q..
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-11.

    Full description at Econpapers || Download paper

  30. The Rate of Risk Aversion May Be Lower Than You Think. (2002). Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-08.

    Full description at Econpapers || Download paper

  31. The Impact of Wage Increases on Job Satisfaction - Empirical Evidence and Theoretical Implications. (2001). Sliwka, Dirk ; Grund, Christian.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp387.

    Full description at Econpapers || Download paper

  32. Consumption, savings, and the meaning of the wealth effect in general equilibrium. (2001). Sarte, Pierre Daniel ; Lantz, Carl D..
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2001:i:sum:p:53-71.

    Full description at Econpapers || Download paper

  33. Habit formation: implications for the wealth distribution. (2001). Ríos-Rull, José-Víctor ; Pijoan-Mas, Josep ; Díaz, Antonia.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we015114.

    Full description at Econpapers || Download paper

  34. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. (2000). Yaron, Amir ; Bansal, Ravi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8059.

    Full description at Econpapers || Download paper

  35. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

  36. Habit persistence, asset returns and the business cycle. (2000). Fisher, Jonas ; Christiano, Lawrence ; Boldrin, Michele.
    In: Staff Report.
    RePEc:fip:fedmsr:280.

    Full description at Econpapers || Download paper

  37. Fiscal Shocks and Fiscal Risk Management. (2000). Zhu, Xiaodong ; Lloyd-Ellis, Huw.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:108.

    Full description at Econpapers || Download paper

  38. Intergenerational Linkages in Consumption Behavior. (2000). Waldkirch, Andreas ; Ng, Serena ; Cox, Donald.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:482.

    Full description at Econpapers || Download paper

  39. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence. (1999). Geczy, Christopher ; Constantinides, George ; Brav, Alon.
    In: CRSP working papers.
    RePEc:wop:chispw:505.

    Full description at Econpapers || Download paper

  40. Prospect Theory and Asset Prices. (1999). HUANG, MING ; Santos, Tano ; Barberis, Nicholas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7220.

    Full description at Econpapers || Download paper

  41. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence. (1999). Geczy, Christopher ; Constantinides, George ; Brav, Alon.
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:23-99.

    Full description at Econpapers || Download paper

  42. Fiscal Shocks and Fiscal Risk Management. (1998). Zhu, Xiaodong ; Lloyd-Ellis, Huw.
    In: Working Papers.
    RePEc:tor:tecipa:lloydell-98-01.

    Full description at Econpapers || Download paper

  43. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?. (1998). Mark, Nelson ; Cecchetti, Stephen ; Lam, Pok-Sang .
    In: Working Papers.
    RePEc:osu:osuewp:98-04.

    Full description at Econpapers || Download paper

  44. Catching up with the Keynesians. (1998). Uhlig, Harald ; Ljungqvist, Lars.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0259.

    Full description at Econpapers || Download paper

  45. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?. (1997). Mark, Nelson ; Cecchetti, Stephen ; P-s. Lam, .
    In: Working Papers.
    RePEc:osu:osuewp:017.

    Full description at Econpapers || Download paper

  46. Optimal growth when tastes are inherited. (1997). de la Croix, David.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:1997012.

    Full description at Econpapers || Download paper

  47. Anomalies: The Equity Premium Puzzle. (1997). Thaler, Richard ; Siegel, Jeremy J.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:11:y:1997:i:1:p:191-200.

    Full description at Econpapers || Download paper

  48. Consumption and the Stock Market: Interpreting International Experience. (1996). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5610.

    Full description at Econpapers || Download paper

  49. Economic development and convergence clubs: the role of inherited tastes and human capital. (1996). de la Croix, David.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:1996024.

    Full description at Econpapers || Download paper

  50. Asset and Commodity Prices with Multiattribute Durable Goods. (1995). Giannikos, Christos ; Detemple, Jerome.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-47.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 13:03:49 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.