1. Business-cycle pattern of asset returns: a general equilibrium explanation. (2019). Kang, Qiang.
   In: Annals of Finance.
   RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00347-y.

   Full description at Econpapers || Download paper

2. Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities. (2015). Thomakos, Dimitrios ; Schizas, Panagiotis.
   In: Quantitative Finance.
   RePEc:taf:quantf:v:15:y:2015:i:2:p:285-298.

   Full description at Econpapers || Download paper

3. Returns in trading versus non-trading hours: The difference is day and night. (2011). Kelly, Michael ; Clark, Steven P.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:12:y:2011:i:2:d:10.1057_jam.2011.2.

   Full description at Econpapers || Download paper

4. Economic and financial crises and the predictability of U.S. stock returns. (2008). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:15:y:2008:i:3:p:468-480.

   Full description at Econpapers || Download paper

5. Economic and Financial Crises and the Predictability of U.S. Stock Returns. (2006). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
   In: MPRA Paper.
   RePEc:pra:mprapa:561.

   Full description at Econpapers || Download paper

6. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2006). Diebold, Francis ; Christoffersen, Peter F..
   In: Management Science.
   RePEc:inm:ormnsc:v:52:y:2006:i:8:p:1273-1287.

   Full description at Econpapers || Download paper

7. Volatility and Correlation Forecasting. (2006). Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F. ; Diebold, Francis X..
   In: Handbook of Economic Forecasting.
   RePEc:eee:ecofch:1-15.

   Full description at Econpapers || Download paper

8. Volatility Forecasting. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
   In: PIER Working Paper Archive.
   RePEc:pen:papers:05-011.

   Full description at Econpapers || Download paper

9. Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance. (2004). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
   In: UCLA Economics Online Papers.
   RePEc:cla:uclaol:300.

   Full description at Econpapers || Download paper

10. Financial asset returns, direction-of-change forecasting, and volatility dynamics. (2003). Diebold, Francis ; Christoffersen, Peter F..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200408.

    Full description at Econpapers || Download paper

11. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-009.

    Full description at Econpapers || Download paper

12. Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective. (2003). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9959.

    Full description at Econpapers || Download paper

13. 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

14. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

15. Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models. (). Semmler, Willi ; Lettau, Martin ; Woehrmann, Peter .
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:225.

    Full description at Econpapers || Download paper

References contributed by pfo235-32059

1. Bansal, R., and S. Viswanathan, 1993, No Arbitrage and Arbitrage Pricing, Journal of Finance 48, 1231-1262. Boudoukh, J., R. Michaely, M. Richardson and M. Roberts, 2007, On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing, Journal of Finance 62, 877-915.

2. Boudoukh, J., M. Richardson and R. Whitelaw, 1997, Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure, Management Science 43, 371-385.

3. Breeden, D., M. Gibbons and R. Litzenberger, 1989, Empirical Tests of the Consumption-Oriented CAPM, Journal of Finance 44, 221-262.

4. Breen, W., L. Glosten and R. Jagannathan, 1989, Economic Significance of Predictable Variations in Stock Index Returns, Journal of Finance 44, 1177-1189.
   Paper not yet in RePEc: Add citation now
   

5. Campbell, J., 1987, Stock Returns and the Term Structure, Journal of Financial Economics 18, 373-399.

6. Campbell, J., and J. Cochrane, 1999, By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Journal of Political Economy 107, 205-251.

7. Chen, N.-F., R. Roll and S. Ross, 1986, Economic Forces and the Stock Market, Journal of Business 59, 383-404.

8. Duffee, G., 1996, Idiosyncratic Variation of Treasury Bill Yields, Journal of Finance 51, 527-551.
   Paper not yet in RePEc: Add citation now
   

9. Fama, E., and K. French, 1989, Business Conditions and Expected Returns on Stocks and Bonds, Journal of Financial Economics 25, 23-49.

10. Fama, E., and K. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics 33, 3-56.

11. Ferson, W., and C. Harvey, 1992, Seasonality and Consumption-Based Asset Pricing, Journal of Finance 47, 511-552.

12. Fleming, J., C. Kirby and B. Ostdiek, 2001, The Economic Value of Volatility Timing, Journal of Finance 56, 329-352.

13. Foster, D., T. Smith and R. Whaley, 1997, Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R2, Journal of Finance 52, 591-607.

14. French, K., W. Schwert and R. Stambaugh, 1987, Expected Stock Returns and Volatility, Journal of Financial Economics 19, 3-29.

15. Glosten, L., R. Jagannathan and D. Runkle, 1993, On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance 48, 1779-1801.

16. Guo, H., and R. Whitelaw, 2006, Uncovering the Risk-Return Relation in the Stock Market, Journal of Finance 61, 1433-1463.

17. Hansen, L., and K. Singleton, 1983, Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns, Journal of Political Economy 91, 249-265.

18. Harrison, M., and D. Kreps, 1979, Martingales and Arbitrage in Multiperiod Security Markets, Journal of Economic Theory 20, 381-408.

19. Harvey, C., and A. Siddique, 2000, Conditional Skewness in Asset Pricing Tests, Journal of Finance 55, 1263-1295.

20. Kairys, J., 1993, Predicting Sign Changes in the Equity Risk Premium Using Commercial Paper Rates, Journal of Portfolio Management 20, 41-51.
    Paper not yet in RePEc: Add citation now
    

21. Kandel, S., and R. Stambaugh, 1990, Expectations and Volatility of Consumption and Asset Returns, Review of Financial Studies 3, 207-232.

22. Kandel, S., and R. Stambaugh, 1996, On the Predictability of Stock Returns: An Asset Allocation Perspective, Journal of Finance 51, 385-424.

23. Keim, D., and R. Stambaugh, 1986, Predicting Returns in the Stock and Bond Markets, Journal of Financial Economics 17, 357-390.

24. Kraus, A., and R. Litzenberger, 1976, Skewness Preference and the Valuation of Risky Assets, Journal of Finance 31, 1085-1100.

25. Lettau, M., and S. Van Nieuwerburgh, 2008, Reconciling the Return Predictability Evidence, Review of Financial Studies 21, 1607-1652.

26. Lucas, R., 1978, Asset Prices in an Exchange Economy, Econometrica 46, 1429-1445.

27. Merton, R., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica 41, 867-887.

28. Schwert, W., 1989, Why Does Stock Market Volatility Change Over Time? Journal of Finance 44, 1115-1153.

29. Smith, D., 2007, Risk and Return in Stochastic Volatility Models: Volatility Feedback Matters! Unpublished working paper, Queensland University of Technology.
    Paper not yet in RePEc: Add citation now
    

30. Welch, I., and A. Goyal, 2008, A Comprehensive Look at the Empirical Performance of Equity Premium Prediction, Review of Financial Studies 21, 1455-1508.

31. Whitelaw, R., 1994, Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns, Journal of Finance 49, 515-541.

32. Whitelaw, R., 2000, Stock Market Risk and Return: An Equilibrium Approach, Review of Financial Studies 13, 521-547.

1. Predictors and portfolios over the life cycle: Skill vs. luck. (2017). Munk, Claus ; Kraft, Holger ; Weiss, Farina.
   In: SAFE Working Paper Series.
   RePEc:zbw:safewp:139.

   Full description at Econpapers || Download paper

2. Understanding the Cash Flow-Fundamental Ratio. (2015). Chiou, Chyi-Lun.
   In: International Journal of Economics and Financial Issues.
   RePEc:eco:journ1:2015-01-12.

   Full description at Econpapers || Download paper

3. Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics. (2013). Jin, Jianjian.
   In: Staff Working Papers.
   RePEc:bca:bocawp:13-12.

   Full description at Econpapers || Download paper

4. Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability. (2012). Jank, Stephan.
   In: CFR Working Papers.
   RePEc:zbw:cfrwps:1208.

   Full description at Econpapers || Download paper

5. Structural Breaks and Predictive Regressions Models of South African Equity Premium. (2012). GUPTA, RANGAN ; Modise, Mampho P. ; Aye, Goodness C..
   In: Working Papers.
   RePEc:pre:wpaper:201209.

   Full description at Econpapers || Download paper

6. 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

7. From the horse’s mouth: how do investor expectations of risk and return vary with economic conditions?. (2012). Sharpe, Steven ; Amromin, Gene.
   In: Working Paper Series.
   RePEc:fip:fedhwp:wp-2012-08.

   Full description at Econpapers || Download paper

8. The predictability of aggregate Japanese stock returns: Implications of dividend yield. (2012). Chen, Sichong.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:22:y:2012:i:1:p:284-304.

   Full description at Econpapers || Download paper

9. Payout yield, risk, and mispricing: A Bayesian analysis. (2012). Shanken, Jay ; Tamayo, Ane.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:105:y:2012:i:1:p:131-152.

   Full description at Econpapers || Download paper

10. Measuring investor sentiment with mutual fund flows. (2012). Kandel, Shmuel ; Ben-Rephael, Azi ; Wohl, Avi.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:104:y:2012:i:2:p:363-382.

    Full description at Econpapers || Download paper

11. Stock Return and Cash Flow Predictability: The Role of Volatility Risk. (2012). Zhou, Hao ; Bollerslev, Tim ; Xu, Lai.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-51.

    Full description at Econpapers || Download paper

12. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Martin, Spencer J. ; Nardari, Federico.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:560-580.

    Full description at Econpapers || Download paper

13. Explaining asset pricing puzzles associated with the 1987 market crash. (2011). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:3:p:552-573.

    Full description at Econpapers || Download paper

14. Forecasting stock market returns: The sum of the parts is more than the whole. (2011). Santa-Clara, Pedro ; Ferreira, Miguel.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:100:y:2011:i:3:p:514-537.

    Full description at Econpapers || Download paper

15. Patterns in payout policy and payout channel choice. (2011). Renneboog, Luc ; Trojanowski, Grzegorz.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:6:p:1477-1490.

    Full description at Econpapers || Download paper

16. Macroeconomic risk and the cross-section of stock returns. (2011). Kim, Tong Suk ; Kang, Jangkoo ; Lee, Changjun ; Min, Byoung-Kyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3158-3173.

    Full description at Econpapers || Download paper

17. The contribution of stock repurchases to the value of the firm and cash holdings around the world. (2011). Zhang, XU ; Haw, In-Mu ; Ho, Simon S. M., ; Hu, Bingbing.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:17:y:2011:i:1:p:152-166.

    Full description at Econpapers || Download paper

18. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

    Full description at Econpapers || Download paper

19. Controlling shareholders and payout policy: do founding families have a special taste for dividends?. (2010). Kaserer, Christoph ; Schmid, Thomas ; Ampenberger, Markus ; Achleitner, Ann-Kristin.
    In: CEFS Working Paper Series.
    RePEc:zbw:cefswp:201001.

    Full description at Econpapers || Download paper

20. Predictability of Returns and Cash Flows. (2010). Van Nieuwerburgh, Stijn ; koijen, ralph ; Ralph S. J. Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16648.

    Full description at Econpapers || Download paper

21. Asset Allocation. (2010). Wachter, Jessica.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16255.

    Full description at Econpapers || Download paper

22. Dividends, Share Repurchases, and Tax Clienteles: Evidence from the 2003 Reductions in Shareholder Taxes. (2010). Shackelford, Douglas ; Jennifer Blouin, Jana Raedy, Douglas Shackelford, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16129.

    Full description at Econpapers || Download paper

23. Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules. (2010). Zhou, Guofu ; Tu, Jun ; Neely, Christopher ; Rapach, David E..
    In: Working Papers.
    RePEc:fip:fedlwp:2010-008.

    Full description at Econpapers || Download paper

24. Fundamental indexing around the world. (2010). Lobe, Sebastian ; Walkshausl, Christian.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:19:y:2010:i:3:p:117-127.

    Full description at Econpapers || Download paper

25. Inflation and the stock market: Understanding the Fed Model. (2010). Engstrom, Eric ; Bekaert, Geert.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:57:y:2010:i:3:p:278-294.

    Full description at Econpapers || Download paper

26. Habit formation, surplus consumption and return predictability: International evidence. (2010). Møller, Stig ; Hyde, Stuart ; Engsted, Tom ; Moller, Stig V..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:7:p:1237-1255.

    Full description at Econpapers || Download paper

27. Predicting the equity premium with dividend ratios: Reconciling the evidence. (2010). Kellard, Neil ; Nankervis, John C. ; Papadimitriou, Fotios I..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:539-551.

    Full description at Econpapers || Download paper

28. When does the dividend-price ratio predict stock returns?. (2010). Park, Cheolbeom.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:81-101.

    Full description at Econpapers || Download paper

29. On the Economic Value of Return Predictability. (2010). Han, Yufeng.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2010:v:11:i:1:p:1-33.

    Full description at Econpapers || Download paper

30. Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns. (2010). Favero, Carlo ; Gozluklu, Arie ; Tamoni, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7734.

    Full description at Econpapers || Download paper

31. What is the chance that the equity premium varies over time? evidence from predictive regressions. (2009). Wachter, Jessica.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2009-26.

    Full description at Econpapers || Download paper

32. Inflation and the stock market: Understanding the “Fed Model”. (2009). Engstrom, Eric ; Bekaert, Geert.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2009:i:jan:x:3.

    Full description at Econpapers || Download paper

33. On the reversal of return and dividend growth predictability: A tale of two periods. (2009). Chen, Long.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:1:p:128-151.

    Full description at Econpapers || Download paper

34. Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland. (2009). Drobetz, Wolfgang ; Kugler, Peter ; Zimmermann, Heinz ; Wanzenried, Gabrielle.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:1-2:p:84-93.

    Full description at Econpapers || Download paper

35. The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics. (2009). Lemke, Wolfgang ; Werner, Thomas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091045.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

37. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole. (2008). Santa-Clara, Pedro ; Ferreira, Miguel.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14571.

    Full description at Econpapers || Download paper

38. Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?. (2008). Sharpe, Steven ; Amromin, Gene.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-17.

    Full description at Econpapers || Download paper

39. Another Look to the Price-Dividend Ratio: A Markov-Switching Approach. (2008). Regulez, Marta ; Londoo, Juan M..
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200809.

    Full description at Econpapers || Download paper

40. Does firm value move too much to be justified by subsequent changes in cash flow. (2008). Yogo, Motohiro ; Larrain, Borja.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:200-226.

    Full description at Econpapers || Download paper

41. Did Firms Substitute Dividends for Share Repurchases after the 2003 Reductions in Shareholder Tax Rates?. (2007). Shackelford, Douglas ; Blouin, Jennifer L. ; Raedy, Jana Smith.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13601.

    Full description at Econpapers || Download paper

42. Estimating the Equity Premium. (2007). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13423.

    Full description at Econpapers || Download paper

43. Durability of Output and Expected Stock Returns. (2007). Yogo, Motohiro ; Kogan, Leonid ; Gomes, João.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12986.

    Full description at Econpapers || Download paper

44. Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?. (2007). Yogo, Motohiro ; Larrain, Borja.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12847.

    Full description at Econpapers || Download paper

45. Habit Formation, Surplus Consumption and Return Predictability: International Evidence. (2007). Møller, Stig ; Hyde, Stuart ; Engsted, Tom ; Moller, Stig V..
    In: CREATES Research Papers.
    RePEc:aah:create:2007-31.

    Full description at Econpapers || Download paper

46. Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns. (2007). Møller, Stig ; Moller, Stig V..
    In: CREATES Research Papers.
    RePEc:aah:create:2007-07.

    Full description at Econpapers || Download paper

47. Investment Taxes and Equity Returns. (2006). Sialm, Clemens.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12146.

    Full description at Econpapers || Download paper

48. The Myth of Long-Horizon Predictability. (2005). Whitelaw, Robert ; Richardson, Matthew ; Boudoukh, Jacob.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11841.

    Full description at Econpapers || Download paper

49. Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?. (2005). DeSantis, Massimiliano .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:5.

    Full description at Econpapers || Download paper

50. Dynamic Asset Allocation with Ambiguous Return Predictability. (2001). Miao, Jianjun ; ju, nengjiu ; Chen, Hui.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-015.

    Full description at Econpapers || Download paper

Report date: 2025-10-03 21:19:42 || Missing content? Let us know