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1. Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed. (2021). Kohrs, Hendrik ; Schuhmacher, Frank ; Auer, Benjamin R.
   In: Management Science.
   RePEc:inm:ormnsc:v:67:y:2021:i:12:p:7812-7824.

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2. Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall. (2021). Mata, Pedro Neves ; Khan, Kanwal Iqbal ; Martins, Jessica Nunes ; Nasir, Adeel.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:4:p:394-:d:500481.

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3. Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin.
   In: Working Papers.
   RePEc:igi:igierp:627.

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4. Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin.
   In: BAFFI CAREFIN Working Papers.
   RePEc:baf:cbafwp:cbafwp1885.

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5. Can stochastic discount factor models explain the cross-section of equity returns?. (2016). Smith, Peter ; Abhakorn, Pongrapeeporn ; Wickens, Michael R.
   In: Review of Financial Economics.
   RePEc:eee:revfin:v:28:y:2016:i:c:p:56-68.

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6. How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics. (2015). Wickens, Michael.
   In: Manchester School.
   RePEc:bla:manchs:v:83:y:2015:i::p:60-82.

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7. How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics. (2014). Wickens, Michael.
   In: Discussion Papers.
   RePEc:yor:yorken:14/17.

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8. Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence. (2014). Huang, Lin ; Wang, Zijun.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:44:y:2014:i:c:p:219-232.

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9. Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns. (2014). MORANA, CLAUDIO.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:29:y:2014:i:c:p:64-79.

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10. How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics. (2014). Wickens, Michael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10197.

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11. Creative destruction and asset prices. (2013). Jank, Stephan ; Grammig, Joachim.
    In: University of Tübingen Working Papers in Business and Economics.
    RePEc:zbw:tuewef:61.

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12. What do the Fama-French factors add to CCAPM?. (2013). Wickens, Michael ; Smith, Peter ; Abhakorn, Pongrapeeporn.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-23.

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13. The second moment matters! Cross-sectional dispersion of firm valuations and expected returns. (2013). Jiang, Danling.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:10:p:3974-3992.

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14. What do the Fama-French Factors Add to C-CAPM?. (2013). Wickens, Michael ; Smith, Peter.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4197.

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15. A new measure of equity duration: The duration-based explanation of the value premium revisited. (2012). Schröder, David ; Esterer, Florian ; Schroder, David.
    In: VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century.
    RePEc:zbw:vfsc12:62077.

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16. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

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17. Portfolio Implications of Cointegration Between Labor Income and Dividends. (2012). Jong, Frank.
    In: De Economist.
    RePEc:kap:decono:v:160:y:2012:i:4:p:397-412.

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18. Multifactor models and their consistency with the ICAPM. (2012). Santa-Clara, Pedro ; Maio, Paulo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:586-613.

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19. Determinants of expected stock returns: Large sample evidence from the German market. (2011). Artmann, Sabine ; Finter, Philipp ; Kempf, Alexander.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1001r.

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20. The term structures of equity and interest rates. (2011). Wachter, Jessica ; Lettau, Martin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:90-113.

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21. Risk adjustment and momentum sources. (2011). Wu, Yangru ; Wang, Jun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:6:p:1427-1435.

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22. The relationship between asset growth and the cross-section of stock returns. (2011). Gray, Philip ; Johnson, Jessica.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:670-680.

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23. Determinants of expected stock returns: Large sample evidence from the German market. (2010). Artmann, Sabine ; Finter, Philipp ; Kempf, Alexander.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1001.

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24. The determinants of increasing equity market comovement: economic or financial integration?. (2010). Baele, Lieven ; Soriano, Pilar.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:146:y:2010:i:3:p:573-589.

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25. Macroeconomic Risks and Characteristic-Based Factor Models. (2010). Bartram, Söhnke ; Pope, Peter F. ; Aretz, Kevin.
    In: MPRA Paper.
    RePEc:pra:mprapa:47344.

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26. The Cross-Section and Time-Series of Stock and Bond Returns. (2010). Van Nieuwerburgh, Stijn ; Lustig, Hanno ; koijen, ralph ; Ralph S. J. Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15688.

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27. The intertemporal capital asset pricing model with dynamic conditional correlations. (2010). Engle, Robert ; Bali, Turan G..
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:57:y:2010:i:4:p:377-390.

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28. A skeptical appraisal of asset pricing tests. (2010). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:175-194.

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29. Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. (2010). Guo, Hui ; Savickas, Robert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1637-1649.

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30. Accounting anomalies and fundamental analysis: An alternative view. (2010). Lewellen, Jonathan.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:50:y:2010:i:2-3:p:455-466.

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31. Pricing the term structure of inflation risk premia: Theory and evidence from TIPS. (2010). Cheng, Xiaolin ; Liu, BO.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:702-721.

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32. Professor Zipf goes to Wall Street. (2009). Malevergne, Yannick ; Santa-Clara, Pedro ; Sornette, Didier.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15295.

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33. The Term Structures of Equity and Interest Rates. (2009). Wachter, Jessica ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14698.

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34. A model of asset pricing under country risk. (2009). Andrade, Sandro C..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:4:p:671-695.

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35. Is PIN priced risk?. (2009). Rajgopal, Shiva ; Mohanram, Partha.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:47:y:2009:i:3:p:226-243.

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36. Correlation risk. (2009). Petkova, Ralitsa ; Ritchken, Peter ; Krishnan, C. N. V., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:353-367.

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37. Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns. (2008). Jiang, Danling.
    In: MPRA Paper.
    RePEc:pra:mprapa:8325.

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38. Is accruals quality a priced risk factor?. (2008). Guay, Wayne R. ; Verdi, Rodrigo ; Core, John E..
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:46:y:2008:i:1:p:2-22.

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39. Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model. (2008). Khan, Mozaffar.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:45:y:2008:i:1:p:55-77.

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40. Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors. (2007). KOSTAKIS, ALEXANDROS.
    In: Discussion Papers.
    RePEc:yor:yorken:07/07.

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41. Intertemporal asset allocation when the underlying factors are unobservable. (2007). Semmler, Willi ; Hsiao, Chih-Ying.
    In: Computational Economics.
    RePEc:kap:compec:v:29:y:2007:i:3:p:383-418.

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42. Do macro variables, asset markets, or surveys forecast inflation better?. (2007). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:4:p:1163-1212.

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43. Asymmetric stock market volatility and the cyclical behavior of expected returns. (2007). Mele, Antonio.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:86:y:2007:i:2:p:446-478.

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44. Linear Approximations and Tests of Conditional Pricing Models. (2006). Chapman, David ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12513.

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45. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12360.

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46. Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market. (2006). Yang, Jian ; Guo, Hui ; Wang, Zijun.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-047.

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47. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

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48. Understanding stock return predictability. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-019.

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49. Is value premium a proxy for time-varying investment opportunities: some time series evidence. (2006). Yang, Jian ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-026.

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50. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

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51. Do macro variables, asset markets, or surveys forecast inflation better?. (2006). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-15.

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52. A consumption-based model of the term structure of interest rates. (2006). Wachter, Jessica.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:79:y:2006:i:2:p:365-399.

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53. Time-varying risk premia and the cross section of stock returns. (2006). Guo, Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2087-2107.

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54. Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns. (2006). Jiang, Danling.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-8.

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55. Optimal Value and Growth Tilts in Long-Horizon Portfolios. (2006). Viceira, Luis ; Jurek, Jakub W.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5773.

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56. Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?. (2005). Lundtofte, Frederik.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_018.

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57. The Relationship between Risk and Expected Return in Europe. (2005). Leon, ngel ; Nave, Juan ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200508.

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58. Option Pricing Kernels and the ICAPM. (2005). Brennan, Michael ; Xia, Yihong ; Liu, Xiaoquan.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt4d90p8ss.

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59. Bad Beta, Good Beta. (2004). Campbell, John ; Vuolteenaho, Tuomo.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:5:p:1249-1275.

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60. Consumption, Size and Book-to-Market Ratio in Equity Returns. (). Wickens, Michael ; Smith, Peter ; Abhakorn, Pongrapeeporn.
    In: Discussion Papers.
    RePEc:yor:yorken:11/24.

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