1. Divergent interest rates in the theory of financial markets. (2019). Kruschwitz, Lutz ; Lorenz, Daniela ; Loffler, Andreas.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:71:y:2019:i:c:p:48-55.

   Full description at Econpapers || Download paper

1. Bansal, R., Dittmar, R., Lundblad, C.: Consumption, dividends, and the cross section of equity returns. J. Financ. 60, 1972 (2005).

2. Black, F.: Capital market equilibrium with restricted borrowing. J. Bus. 45, 444–455 (1972).

3. Brennan, M.: Capital market equilibrium with divergent borrowing and lending rates. J. Financ. Quant. Anal. 6, 1197–1205 (1971).

4. Campbell, J.: Understanding risk and returns. J. Pol. Econ. 104, 299–345 (1996).

5. Carhart, M.: On persistence in mutual fund performance. J. Financ. 52, 57–82 (1997).

6. Fama, E.F., French, K.R.: Common risk factors in the returns on stocks and bonds. J. Financ. Econ. 33, 3–56 (1993).

7. Fama, E.F., MacBeth, J.: Risk, return and equilibrium: empirical tests. J. Pol. Econ. 81, 607–636 (1973).

8. Forbes, S.M., Paul, C.: Modeling the prime rate: an ordered-response approach. Int. Rev. Econ. Financ. 1, 147–157 (1992).

9. Gibbons, M., Ross, S., Shanken, J.: A test of the efficiency of a given portfolio. Econometrica 57, 1121–1152 (1989).

10. Goldberg, M.: The pricing of the prime rate. J. Bank. Financ. 6, 277–296 (1982).

11. Goyal, A.: Empirical cross-sectional asset pricing: a survey. Financ. Mark. Portf. Manag. 26, 3–38 (2012).

12. Grauer, R., Janmaat, J.A.: On the power of cross-sectional and multivariate tests of the CAPM. J. Bank. Financ. 33, 775–787 (2009).

13. Harvey, C., Morganson, G.: The New York Times Dictionary of Money and Investing. Henry Holt and Company and Times Books, New York (2002).
    Paper not yet in RePEc: Add citation now
    

14. Jagannathan, R., Wang, Y.: Lazy investors, discretionary consumption, and the cross section of stock returns. J. Financ. 62, 1623–1661 (2007).

15. Jagannathan, R., Wang, Z.: The conditional CAPM and the cross-section of expected returns. J. Financ. 51, 3–54 (1996).

16. Kan, R., Robotti, C., Shanken, J.: Pricing model performance and the two-pass cross-sectional regression methodology. J. Financ. (2013). doi: 10.1111/jofi.12035 .

17. Kan, R., Zhang, C.: Two-pass tests of asset pricing models with useless factors. J. Financ. 54, 203–235 (1999).

18. Kling, J.L.: The dynamic behavior of business loans and the prime rate. J. Bank. Financ. 9, 421–442 (1985).

19. Lettau, M., Ludvigson, S.: Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. J. Pol. Econ. 109, 1238–1287 (2001).

20. Lewellen, J., Nagel, S., Shanken, J.: A skeptical appraisal of asset-pricing tests. J. Financ. Econ. 96, 175–194 (2010).

21. Li, Q., Vassalou, M., Xing, Y.: Sector investments, growth rates and the cross-section of equity returns. J. Bus. 79, 1637–1665 (2006).

22. Pástor, L., Stambaugh, R.F.: Liquidity risk and expected stock returns. J. Pol. Econ. 111, 642–685 (2003).

23. Petkova, R.: Do Fama-French factors proxy for innovations in predictive variables? J. Financ. 61, 581–612 (2006).

24. Söderlind, P.: C-CAPM refinements and the cross-section of returns. Financ. Mark. Portf. Manag. 20, 49–73 (2006).

25. Shanken, J., Zhou, G.: Estimating and testing beta pricing models: alternative methods and their performance in simulations. J. Financ. Econ. 84, 40–86 (2007).

26. Shanken, J.: On the estimation of beta-pricing models. Rev. Financ. Stud. 5, 1–33 (1992).

27. Shanken, J.: Testing portfolio efficiency when the zero-beta rate is unknown: a note. J. Financ. 41, 269–276 (1986).

28. Vassalou, M.: News related to future GDP growth as a risk factor in equity returns. J. Financ. Econ. 68, 47–73 (2003).
    Paper not yet in RePEc: Add citation now
    

29. Yogo, M.: A consumption-based explanation of expected returns. J. Financ. 61, 539–580 (2006).

1. Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach. (2014). Yaron, Amir ; Song, Dongho ; Schorfheide, Frank.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:20303.

   Full description at Econpapers || Download paper

2. Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models. (2012). Yu, Jianfeng.
   In: Review of Economic Dynamics.
   RePEc:red:issued:10-230.

   Full description at Econpapers || Download paper

3. The Out of Sample Performance of Long-run Risk Models. (2012). Xie, Biqin ; Ferson, Wayne ; Nallareddy, Suresh K..
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17848.

   Full description at Econpapers || Download paper

4. 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.

   Full description at Econpapers || Download paper

5. Examining macroeconomic models through the lens of asset pricing. (2012). Hansen, Lars ; Borovička, Jaroslav ; Borovicka, Jaroslav.
   In: Working Paper Series.
   RePEc:fip:fedhwp:wp-2012-01.

   Full description at Econpapers || Download paper

6. Do expected business conditions explain the value premium?. (2012). Fong, Wai Mun.
   In: Journal of Financial Markets.
   RePEc:eee:finmar:v:15:y:2012:i:2:p:181-206.

   Full description at Econpapers || Download paper

7. Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S. (2011). Sousa, Ricardo.
   In: NIPE Working Papers.
   RePEc:nip:nipewp:21/2011.

   Full description at Econpapers || Download paper

8. Temperature, Aggregate Risk, and Expected Returns. (2011). Ochoa, Juan ; Bansal, Ravi.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17575.

   Full description at Econpapers || Download paper

9. Welfare Costs of Long-Run Temperature Shifts. (2011). Ochoa, Juan ; Bansal, Ravi.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17574.

   Full description at Econpapers || Download paper

10. Price Dividend Ratio Factors : Proxies for Long Run Risk. (2011). Jagannathan, Ravi ; Marakani, Srikant.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17484.

    Full description at Econpapers || Download paper

11. A Model of Momentum. (2011). Zhang, Lu ; Liu, Laura Xiaolei.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16747.

    Full description at Econpapers || Download paper

12. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:248-270.

    Full description at Econpapers || Download paper

13. Investment horizon effect on asset allocation between value and growth strategies. (2011). Kim, Sangbae ; Genay, Ramazan ; In, Francis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:4:p:1489-1497.

    Full description at Econpapers || Download paper

14. Examining Macroeconomic Models Through the Lens of Asset Pricing. (2011). Hansen, Lars Peter ; Borovicka, Jaroslav.
    In: Working Papers.
    RePEc:bfi:wpaper:2011-012.

    Full description at Econpapers || Download paper

15. The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US. (2010). Sousa, Ricardo.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:9/2010.

    Full description at Econpapers || Download paper

16. 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.

    Full description at Econpapers || Download paper

17. Size, Book-to-Market Ratio and Macroeconomic News. (2010). Cenesizoglu, Tolga.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1033.

    Full description at Econpapers || Download paper

18. Sales order backlogs and momentum profits. (2010). Huang, Dayong ; Gu, LI.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1564-1575.

    Full description at Econpapers || Download paper

19. 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.

    Full description at Econpapers || Download paper

20. Stock and bond returns with Moody Investors. (2010). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:5:p:867-894.

    Full description at Econpapers || Download paper

21. Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations. (2010). Balke, Nathan ; Avdjiev, Stefan.
    In: BIS Working Papers.
    RePEc:bis:biswps:323.

    Full description at Econpapers || Download paper

22. An Empirical Evaluation of the Long-Run Risks Model for Asset Prices. (2009). Yaron, Amir ; Bansal, Ravi ; Kiku, Dana.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15504.

    Full description at Econpapers || Download paper

23. The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia. (2008). Ludvigson, Sydney.
    In: EconomicDynamics Newsletter.
    RePEc:red:ecodyn:v:9:y:2008:i:2:agenda.

    Full description at Econpapers || Download paper

24. Asset Pricing Tests with Long Run Risks in Consumption Growth. (2008). Constantinides, George ; Ghosh, Anisha.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14543.

    Full description at Econpapers || Download paper

25. The Wealth-Consumption Ratio. (2008). Verdelhan, Adrien ; Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13896.

    Full description at Econpapers || Download paper

26. Expectations, Shocks, and Asset Returns. (2007). Sousa, Ricardo.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:29/2007.

    Full description at Econpapers || Download paper

27. Long-Run Risks and Financial Markets. (2007). Bansal, Ravi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13196.

    Full description at Econpapers || Download paper

28. Investor Information, Long-Run Risk, and the Term Structure of Equity. (2007). Ludvigson, Sydney ; Lettau, Martin ; Croce, Mariano.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12912.

    Full description at Econpapers || Download paper

29. Long-run risks and financial markets. (2007). Bansal, Ravi.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:283-300:n:v.89no.4.

    Full description at Econpapers || Download paper

30. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12248.

    Full description at Econpapers || Download paper

31. Stock and Bond Returns with Moody Investors. (2006). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12247.

    Full description at Econpapers || Download paper

32. 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.

    Full description at Econpapers || Download paper

33. Interpreting the predictive power of the consumption-wealth ratio. (2006). Hahn, Jaehoon ; Lee, Hangyong.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:2:p:183-202.

    Full description at Econpapers || Download paper

34. Stock and Bond Returns with Moody Investors. (2006). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steve.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5951.

    Full description at Econpapers || Download paper

35. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5947.

    Full description at Econpapers || Download paper

36. Firms’ Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns. (2006). Gourio, Francois.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-005.

    Full description at Econpapers || Download paper

37. Downside Risk. (2005). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11824.

    Full description at Econpapers || Download paper

38. Cash-Flow Risk, Discount Risk, and the Value Premium. (2005). Santos, Tano ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11816.

    Full description at Econpapers || Download paper

39. Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns. (2005). Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:291.

    Full description at Econpapers || Download paper

40. Modelos de valoración de activos condicionales: Un panorama comparativo. (2005). Rodriguez, Rosa ; Nieto, Belen.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:29:y:2005:i:1:p:33-71.

    Full description at Econpapers || Download paper

41. Risk, uncertainty, and asset prices. (2005). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-40.

    Full description at Econpapers || Download paper

42. Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns. (2005). Gourio, Francois.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-002.

    Full description at Econpapers || Download paper

43. Conditional Betas. (2004). Santos, Tano ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10413.

    Full description at Econpapers || Download paper

44. 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

45. The Price is (Almost) Right. (2003). Polk, Christopher ; Vuolteenaho, Tuomo ; COHEN, RANDOLPH B..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10131.

    Full description at Econpapers || Download paper

46. Two Trees: Asset Price Dynamics Induced by Market Clearing. (2003). Santa-Clara, Pedro ; Longstaff, Francis ; Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10116.

    Full description at Econpapers || Download paper

47. C-CAPM and the Cross-Section of Sharpe Ratios. (2003). Söderlind, Paul.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0018.

    Full description at Econpapers || Download paper

48. C-CAPM and the Cross-Section of Sharpe Ratios. (2003). Söderlind, Paul.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4067.

    Full description at Econpapers || Download paper

49. Two Trees: Asset Price Dynamics Induced by Market Clearing. (2003). Santa-Clara, Pedro ; Longstaff, Francis A..
    In: Levine's Bibliography.
    RePEc:cla:levrem:666156000000000355.

    Full description at Econpapers || Download paper

50. Housing Collateral, Consumption Insurance and Risk Premia. (2002). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0211008.

    Full description at Econpapers || Download paper

Report date: 2025-10-01 02:39:54 || Missing content? Let us know