[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Predictors and portfolios over the life cycle. (2016). Munk, Claus ; Kraft, Holger ; Weiss, Farina.
In: SAFE Working Paper Series.
RePEc:zbw:safewp:139.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 41

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. Ang, A. and G. Bekaert (2007). Stock Return Predictability: Is It There? Review of Financial Studies 20(3), 651–707.

  2. Barberis, N. (2000). Investing for the Long Run when Returns are Predictable. Journal of Finance 55(1), 225–264.

  3. Bick, B., H. Kraft, and C. Munk (2013). Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies. Management Science 59(2), 485–503.

  4. Boudoukh, J., R. Michaely, M. Richardson, and M. R. Roberts (2007). On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing. Journal of Finance 62(2), 877–916.

  5. Bourassa, S. C., D. R. Haurin, J. L. Haurin, M. Hoesli, and J. Sun (2009). House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics. Real Estate Economics 37(2), 259 – 278.

  6. Campbell, J. Y. (2006). Household Finance. Journal of Finance 61(4), 1553–1604.

  7. Campbell, J. Y. and L. M. Viceira (1999). Consumption and Portfolio Decisions when Expected Returns are Time Varying. Quarterly Journal of Economics 114(2), 433–495.

  8. Campbell, J. Y. and R. J. Shiller (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies 1(3), 195–227.

  9. Case, K. E. and R. J. Shiller (1989). The Efficiency of the Market for Single-Family Homes. American Economic Review 79(1), 125–137.

  10. Case, K. E. and R. J. Shiller (1990). Forecasting Prices and Excess Returns in the Housing Market. Real Estate Economics 18(3), 253–273.

  11. Cocco, J. F. (2005). Portfolio Choice in the Presence of Housing. Review of Financial Studies 18(2), 535–567.

  12. Cocco, J. F., F. J. Gomes, and P. J. Maenhout (2005). Consumption and Portfolio Choice over the Life Cycle. Review of Financial Studies 18(2), 491–533.

  13. Corradin, S., J. L. Fillat, and C. Vergara-Alert (2014). Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs. Review of Financial Studies 27(4), 823–880.

  14. Cotter, J. and R. Roll (2015). A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics. Real Estate Economics 43(1), 209–240.

  15. Cvitanić, J. and I. Karatzas (1992). Convex Duality in Constrained Portfolio Optimization. Annals of Applied Probability 2(4), 767–818.
    Paper not yet in RePEc: Add citation now

  16. Cvitanić, J., W. Schachermayer, and H. Wang (2001). Utility Maximization in Incomplete Markets with Random Endowment. Finance and Stochastics 5(2), 259–272.

  17. Davis, M. A., A. Lehnert, and R. F. Martin (2008). The Rent-Price Ratio for the Aggregate Stock of Owner-Occupied Housing. Review of Income and Wealth 54(2), 279–284.

  18. De Nardi, M., E. French, and J. B. Jones (2010). Why do the Elderly Save? The Role of Medical Expenses. Journal of Political Economy 118(1), 39–75.

  19. Fama, E. F. and K. R. French (1988). Permanent and Temporary Components of Stock Prices. Journal of Political Economy 96(2), 246–273.

  20. Fama, E. F. and K. R. French (2002). The Equity Premium. Journal of Finance 57(2), 637–659.

  21. Fischer, M. and M. Stamos (2013). Optimal Life Cycle Portfolio Choice with Housing Market Cycles. Review of Financial Studies 26(9), 2311–2352.

  22. Flavin, M. and T. Yamashita (2002). Owner-Occupied Housing and the Composition of the Household Portfolio. American Economic Review 91(1), 345–362.

  23. Guvenen, F., F. Karahan, S. Ozkan, and J. Song (2015, February). What Do Data on Millions of U.S. Workers Reveal About Life-Cycle Earnings Risk. Available at SSRN: http://ssrn. com/abstract=2563279.

  24. Himmelberg, C., C. Mayer, and T. Sinai (2005). Assessing High House Prices: Bubbles, Fundamentals, and Misperseptions. Journal of Economic Perspectives 19(4), 67–92.

  25. Hurd, M. D. (1989). Mortality Risk and Bequest. Econometrica 57(4), 779–813.

  26. Karatzas, I., J. Lehoczky, S. Shreve, and G. Xu (1991). Martingale and Duality Methods for Utility Maximization in an Incomplete Market. SIAM Journal on Control and Optimization 29(3), 702–730.
    Paper not yet in RePEc: Add citation now

  27. Kim, T. S. and E. Omberg (1996). Dynamic Nonmyopic Portfolio Behavior. Review of Financial Studies 9(1), 141–161.

  28. Koijen, R. S. J. and S. van Nieuwerburgh (2011). Predictability of Returns and Cash Flows. Annual Review of Financial Economics 3, 467–491.

  29. Kraft, H. and C. Munk (2011). Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle. Management Science 57(6), 1025–1041.

  30. Lustig, H. and S. van Nieuwerburgh (2005). Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective. Journal of Finance 60(3), 1167–1219.

  31. Lynch, A. W. and S. Tan (2011). Labor Income Dynamics at Business-cycle Frequencies: Implications for Portfolio Choice. Journal of Financial Economics 101(2), 333–359.

  32. Malpezzi, S. (1999). A Simple Error Correction Model of House Prices. Journal of Housing Economics 8(1), 27–62.

  33. Moskowitz, T., Y. H. Ooi, and L. H. Pedersen (2012). Time Series Momentum. Journal of Financial Economics 104(2), 228–250.

  34. Munk, C. and C. Sørensen (2010). Dynamic Asset Allocation with Stochastic Income and Interest Rates. Journal of Financial Economics 96(3), 433–462.

  35. Plazzi, A., W. Torous, and R. Valkanov (2010). Expected Returns and Expected Growth in Rents of Commercial Real Estate. Review of Financial Studies 23(9), 3469–3519.

  36. Poterba, J. M. (1991). House Price Dynamics: The Role of Tax Policy and Demography. Brookings Papers on Economic Activity 22(2), 143–203.

  37. Santos, T. and P. Veronesi (2006). Labor Income and Predictable Stock Returns. Review of Financial Studies 19(1), 1–44.

  38. Tsai, I.-C., M.-C. Chen, and T.-F. Sing (2007, November). Do REITs behave More like Real Estate Now? Available at http://ssrn.com/abstract=1079590.
    Paper not yet in RePEc: Add citation now

  39. van Hemert, O. (2010). Household Interest Rate Risk Management. Real Estate Economics 38(3), 467–505.

  40. Wachter, J. A. (2002). Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets. Journal of Financial and Quantitative Analysis 37(1), 63–91.

  41. Yao, R. and H. H. Zhang (2005). Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints. Review of Financial Studies 18(1), 197–239.

Cocites

Documents in RePEc which have cited the same bibliography

  1. .

    Full description at Econpapers || Download paper

  2. Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola.
    In: Papers.
    RePEc:arx:papers:2009.03394.

    Full description at Econpapers || Download paper

  3. What drives stock returns in Japan?. (2019). Liang, Samuel Xin.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0322-7.

    Full description at Econpapers || Download paper

  4. Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries. (2019). Salisu, Afees ; Emmanuel, Zachariah ; Alimi, Wasiu A ; Adekunle, Wasiu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:33-56.

    Full description at Econpapers || Download paper

  5. Aggregate Expected Investment Growth and Stock Market Returns. (2018). Yu, Jianfeng ; Wang, Huijun ; Li, Jun.
    In: ADBI Working Papers.
    RePEc:ris:adbiwp:0808.

    Full description at Econpapers || Download paper

  6. Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Ilomäki, Jukka ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

    Full description at Econpapers || Download paper

  7. Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

    Full description at Econpapers || Download paper

  8. Robust Bond Risk Premia. (2017). Hamilton, James ; Bauer, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23480.

    Full description at Econpapers || Download paper

  9. The Decline in Asset Return Predictability and Macroeconomic Volatility. (2017). Qian, Charles ; Palomino, Francisco J ; Hsu, Alex.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-50.

    Full description at Econpapers || Download paper

  10. CAN DEEP MACHINE LEARNING OUTSMART THE MARKET? A COMPARISON BETWEEN ECONOMETRIC MODELLING AND LONG- SHORT TERM MEMORY. (2016). Dezsi, Eva ; Nistor, Ioan Alin .
    In: Romanian Economic Business Review.
    RePEc:rau:journl:v:11:y:2016:i:4.1:p:54-73.

    Full description at Econpapers || Download paper

  11. Stock Return Prediction with Fully Flexible Models and Coefficients. (2016). Fu, Rong ; Byrne, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:75366.

    Full description at Econpapers || Download paper

  12. Interdependencies and Causalities in Coupled Financial Networks. (2016). Arai, Yuta ; Iyetomi, Hiroshi ; Fujiwara, Yoshi ; Aoyama, Hideaki ; Vodenska, Irena.
    In: PLOS ONE.
    RePEc:plo:pone00:0150994.

    Full description at Econpapers || Download paper

  13. Credit Expansion and Neglected Crash Risk. (2016). Xiong, Wei ; Baron, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22695.

    Full description at Econpapers || Download paper

  14. The information content of the sentiment index. (2016). Xing, Yuhang ; Zhang, Xiaoyan ; Wang, Yanchu ; Sibley, Steven E.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:164-179.

    Full description at Econpapers || Download paper

  15. Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2016_029.

    Full description at Econpapers || Download paper

  16. Low-beta investment strategies. (2015). Korn, Olaf ; Kuntz, Laura-Chloe .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1517.

    Full description at Econpapers || Download paper

  17. Testing the lag structure of assets’ realized volatility dynamics. (2015). Camponovo, Lorenzo ; Audrino, Francesco ; Roth, Constantin .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2015:01.

    Full description at Econpapers || Download paper

  18. On the Fundamental Relation Between Equity Returns and Interest Rates. (2014). Choi, Jae Won ; Whitelaw, Robert F. ; Richardson, Matthew P..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20187.

    Full description at Econpapers || Download paper

  19. Determining what drives stock returns: Proper inference is crucial: Evidence from the UK. (2014). Wohar, Mark ; Ma, Jun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:371-390.

    Full description at Econpapers || Download paper

  20. Speculative Asset Prices (Nobel Prize Lecture). (2014). Shiller, Robert.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1936.

    Full description at Econpapers || Download paper

  21. Sequential Learning, Predictability, and Optimal Portfolio Returns. (2014). Korteweg, Arthur ; Polson, Nicholas ; Johannes, Michael .
    In: Journal of Finance.
    RePEc:bla:jfinan:v:69:y:2014:i:2:p:611-644.

    Full description at Econpapers || Download paper

  22. Speculative Asset Prices. (2014). Shiller, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:104:y:2014:i:6:p:1486-1517.

    Full description at Econpapers || Download paper

  23. The Economic Impact of Oil on Industry Portfolios. (2013). Casassus, Jaime ; Higuera, Freddy .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:433.

    Full description at Econpapers || Download paper

  24. Equity Premia Predictability in the EuroZone. (2013). Silva, Nuno Miguel Barateiro.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2013-22..

    Full description at Econpapers || Download paper

  25. Latent Fundamentals Arbitrage with a Mixed Effects Factor Model. (2012). Iquiapaza, Robert ; Bressan, Aureliano ; Gonalves, Andrei Salem .
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:10:y:2012:i:3:p:317-335.

    Full description at Econpapers || Download paper

  26. Credit Spreads and Business Cycle Fluctuations. (2012). Zakrajsek, Egon ; Gilchrist, Simon.
    In: American Economic Review.
    RePEc:aea:aecrev:v:102:y:2012:i:4:p:1692-1720.

    Full description at Econpapers || Download paper

  27. On the Timing and Pricing of Dividends. (2012). van Binsbergen, Jules ; koijen, ralph ; Brandt, Michael .
    In: American Economic Review.
    RePEc:aea:aecrev:v:102:y:2012:i:4:p:1596-1618.

    Full description at Econpapers || Download paper

  28. On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence. (2011). Jiranyakul, Komain.
    In: MPRA Paper.
    RePEc:pra:mprapa:45583.

    Full description at Econpapers || Download paper

  29. Stock Return Predictability and Oil Prices. (2011). Casassus, Jaime ; Higuera, Freddy .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:406.

    Full description at Econpapers || Download paper

  30. Stock return predictability and variance risk premia: statistical inference and international evidence. (2011). Zhou, Hao ; Marrone, James ; Bollerslev, Tim ; Xu, Lai .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-52.

    Full description at Econpapers || Download paper

  31. How does investor sentiment affect stock market crises?Evidence from panel data. (2011). Beer, Francisca ; Zouaoui, Mohamed ; Nouyrigat, Genevieve .
    In: Working Papers CREGO.
    RePEc:dij:wpfarg:1110304.

    Full description at Econpapers || Download paper

  32. US International Equity Investment and Past and Prospective Returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; Curcuru, Stephanie E. ; CharlesP. Thomas, .
    In: American Economic Review.
    RePEc:aea:aecrev:v:101:y:2011:i:7:p:3440-55.

    Full description at Econpapers || Download paper

  33. Credit risk and Disaster risk. (2010). Gourio, Francois.
    In: 2010 Meeting Papers.
    RePEc:red:sed010:112.

    Full description at Econpapers || Download paper

  34. How does investor sentiment affect stock market crises? Evidence from panel data. (2010). Beer, F. ; Zouaoui, M. ; Nouyrigat, G..
    In: Post-Print.
    RePEc:hal:journl:halshs-00534754.

    Full description at Econpapers || Download paper

  35. 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

  36. Disaster risk and business cycles. (2009). Gourio, Francois.
    In: 2009 Meeting Papers.
    RePEc:red:sed009:1176.

    Full description at Econpapers || Download paper

  37. 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

  38. Disasters Risk and Business Cycles. (2009). Gourio, Francois.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15399.

    Full description at Econpapers || Download paper

  39. The stock market and aggregate employment. (2009). Zhang, Lu ; Chen, Long.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15219.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  41. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

    Full description at Econpapers || Download paper

  42. Investor flows and stock market returns. (2009). Zheng, Lu ; Boyer, Brian .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:1:p:87-100.

    Full description at Econpapers || Download paper

  43. Predictable returns and asset allocation: Should a skeptical investor time the market?. (2009). Wachter, Jessica ; Warusawitharana, Missaka.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:2:p:162-178.

    Full description at Econpapers || Download paper

  44. The time-varying policy neutral rate in real-time: A predictor for future inflation?. (2009). Horvath, Roman.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:1:p:71-81.

    Full description at Econpapers || Download paper

  45. 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

  46. Predictive Systems: Living with Imperfect Predictors. (2008). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13804.

    Full description at Econpapers || Download paper

  47. Demographics and fluctuations in Dividend/Price. (2008). Favero, Carlo ; Tamoni, Andrea ; Gozluklu, Arie E..
    In: Working Papers.
    RePEc:igi:igierp:345.

    Full description at Econpapers || Download paper

  48. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-407.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  50. 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

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-10 13:36:44 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.