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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.

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Cited: 3

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Cites: 15

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Cocites: 50

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Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Filtering Out Expected Dividends and Expected Returns. (2012). Rytchkov, Oleg.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:02:y:2012:i:03:n:s2010139212500127.

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  2. The expected real return to equity. (2011). .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-14.

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

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References

References cited by this document

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Cocites

Documents in RePEc which have cited the same bibliography

  1. What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio. (2015). Warusawitharana, Missaka ; Wachter, Jessica A..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:1:p:74-93.

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  2. Model uncertainty and expected return proxies. (2013). Jäckel, Christoph ; Jackel, Christoph .
    In: MPRA Paper.
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  3. Forecasting volatility in the Chinese stock market under model uncertainty. (2013). Li, Yong ; Zhang, Jie ; Huang, Wei-Ping .
    In: Economic Modelling.
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  4. Doing well and doing good: a multi-dimensional puzzle. (2012). Forget, Vanina .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00672037.

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  5. Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S.. (2011). Sousa, Ricardo.
    In: Working Papers.
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  6. Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S. (2011). Sousa, Ricardo.
    In: NIPE Working Papers.
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  7. What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio. (2011). Wachter, Jessica ; Warusawitharana, Missaka.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17334.

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  8. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective. (2011). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
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  9. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
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  10. A real-time trading rule. (2010). Rambaccussing, Dooruj.
    In: MPRA Paper.
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  11. 1/N and long run optimal portfolios: results for mixed asset menus. (2010). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
    In: Working Papers.
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  12. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
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  13. 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.

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  14. Bayesian Portfolio Analysis. (2010). Zhou, Guofu ; Avramov, Doron.
    In: Annual Review of Financial Economics.
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  15. Exploiting price misalignements. (2009). Rambaccussing, Dooruj.
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  16. Learning in Financial Markets. (2009). Pastor, Lubos ; Veronesi, Pietro ; Pstor, ubo.
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  17. Time and risk diversification in real estate investments: assessing the ex post economic value. (2009). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
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  18. 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

  19. Predictable returns and asset allocation: Should a skeptical investor time the market?. (2009). Wachter, Jessica ; Warusawitharana, Missaka.
    In: Journal of Econometrics.
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  20. The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy. (2009). Fernandez, Pablo ; Liechtenstein, Heinrich ; Aguirreamalloa, Javier .
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  21. International Stock Return Predictability Under Model Uncertainty. (2008). Schrimpf, Andreas.
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  22. Comparing Forecast Performance of Exchange Rate Models. (2008). Yu, Ip-wing ; Lam, Lillie ; Fung, Laurence .
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  23. Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence. (2008). Huang, Kevin ; KevinX. D. Huang, ; Paul P. J. Gao, ; Kevin x. d. Huang, ; Kevin X. D. Huang, .
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  24. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
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  25. Exploiting short-run predictability. (2007). Gomes, Francisco.
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  26. Investing for the long-run in European real estate. (2006). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
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  27. Forecasting Stock Price Changes: Is it Possible?. (2006). Sosvilla-Rivero, Simon ; Rodriguez, Pedro.
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  42. Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence. (2004). Huang, Kevin ; KevinX. D. Huang, ; Gao, Paul ; Kevin x. d. Huang, ; Kevin X. D. Huang, .
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