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Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. (1999). Ludvigson, Sydney ; Lettau, Martin.
In: Staff Reports.
RePEc:fip:fednsr:93.

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  1. Fundamentals and the origin of Fama-French factors. (2008). López-Espinosa, Germán ; Forner-Rodriguez, Carlos ; De Pea, Javier F. ; Lopez-Espinosa, German.
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  2. 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.

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  3. Asset Pricing Tests with Long Run Risks in Consumption Growth. (2008). Constantinides, George ; Ghosh, Anisha.
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  4. Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns. (2008). Møller, Stig ; Moller, Stig Vinther .
    In: Finance Research Group Working Papers.
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  5. Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM. (2008). Adrian, Tobias ; Franzoni, Francesco.
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  6. Do behavioral biases adversely affect the macro-economy?. (2008). Kumar, Alok ; Korniotis, George M..
    In: Finance and Economics Discussion Series.
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  7. Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test. (2007). Shimotsu, Katsumi ; Ren, Yu.
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  10. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities. (2007). Spencer, Peter ; Kizys, Renatas.
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  11. ICAPM with time-varying risk aversion. (2007). Maio, Paulo.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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  12. 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.

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  13. Evaluating conditional asset pricing models for the German stock market. (2006). Schröder, Michael ; Schrimpf, Andreas ; Schroder, Michael ; Stehle, Richard .
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  14. Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns. (2006). Schrimpf, Andreas ; Grammig, Joachim.
    In: ZEW Discussion Papers.
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  15. Do consumption-based asset pricing models explain return predictability?. (2006). Marquering, Wessel .
    In: Applied Financial Economics.
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  16. Empirical Proxies for the Consumption-Wealth Ratio. (2006). Whelan, Karl ; Rudd, Jeremy .
    In: Review of Economic Dynamics.
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  17. Linear Approximations and Tests of Conditional Pricing Models. (2006). Chapman, David ; Brandt, Michael W..
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  18. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
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  19. C-CAPM Refinements and the Cross-Section of Returns. (2006). Söderlind, Paul.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:20:y:2006:i:1:p:49-73.

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  20. U.S. Dollar Risk Premiums and Capital Flows. (2006). Tulin, Volodymyr ; Balakrishnan, Ravi.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2006/160.

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  21. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

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  22. 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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  23. 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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  24. 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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  25. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

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  26. Specification tests of asset pricing models using excess returns. (2006). Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2006-10.

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  27. A stochastic discount factor approach to asset pricing using panel data. (2006). Issler, João ; Fernandes, Marcelo ; Araujo, Fabio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:628.

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  28. Where is beta going ? the riskiness of value and small stocks. (2006). Franzoni, Francesco.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0829.

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  29. 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.

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  30. Estimating the Stochastic Discount Factor without a Utility Function. (2005). Issler, João ; Araujo, Fabio.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:202.

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  31. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Wu, Jin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-009.

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

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

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  34. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence. (2005). Diebold, Francis ; Campbell, Sean D..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11736.

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  35. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns. (2005). Polk, Christopher ; Campbell, John ; Vuolteenaho, Tuomo .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11389.

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  36. Expected Returns, Yield Spreads, and Asset Pricing Tests. (2005). Zhang, Lu ; Chen, Long ; Campello, Murillo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11323.

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  37. Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income. (2005). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11247.

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  38. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium. (2005). Wachter, Jessica ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11144.

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  39. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk. (2005). Verdelhan, Adrien ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11104.

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  40. Consumption Risk and the Cost of Equity Capital. (2005). Jagannathan, Ravi ; Wang, Yong.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11026.

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

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  42. Stock market volatility and the Great Moderation. (2005). Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-47.

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  43. Estimating the stochastic discount factor without a utility function. (2005). Issler, João ; Fernandes, Marcelo ; Araujo, Fabio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:583.

    Full description at Econpapers || Download paper

  44. Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM. (2005). Adrian, Tobias ; Franzoni, Francesco.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0828.

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  45. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Zalewska, Ania ; Schotman, Peter C.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

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  46. Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium. (2005). Wachter, Jessica ; Lettau, Martin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4921.

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  47. THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK. (2005). Verdelhan, Adrien ; Lustig, Hanno.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-019.

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  48. 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.

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  49. Asset price based estimates of sterling exchange rate risk premia. (2005). Groen, Jan ; Balakrishnan, Ravi.
    In: Bank of England working papers.
    RePEc:boe:boeewp:250.

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  50. Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice. (2004). Lynch, Anthony W. ; Tan, Sinan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11010.

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  51. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

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  52. 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, .
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp04-07.

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  53. Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor. (2004). Fernandes, Marcelo ; Araujo, Fabio.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:134.

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  54. Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles. (2004). Nieto, Belen ; Rodriguez, Rosa.
    In: DEE - Documentos de Trabajo. Economía de la Empresa. DB.
    RePEc:cte:dbrepe:db040202.

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  55. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006). (2004). Lustig, Hanno.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:303.

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  56. How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006). (2004). Lustig, Hanno.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:302.

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

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  58. The Conditional CAPM does not Explain Asset-Pricing Anamolies. (2003). Nagel, Stefan ; Lewellen, Jonathan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9974.

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  59. Consumption Risk and Expected Stock Returns. (2003). Parker, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9548.

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  60. Bad Beta, Good Beta. (2003). Campbell, John ; Vuolteenaho, Tuomo .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9509.

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

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  62. The Conditional CAPM Does Not Explain Asset-pricing Anomalies. (2003). Nagel, Stefan ; Lewellen, Jonathan .
    In: Working papers.
    RePEc:mit:sloanp:3544.

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

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

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  65. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level. (2003). Renault, Eric ; Garcia, René ; Semenov, Andrei .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-12.

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  66. Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion. (2003). Attanasio, Orazio ; Vissing-Jorgensen, Annette.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:2:p:383-391.

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  67. The stable long-run CAPM and the cross-section of expected returns. (2002). Kim, Jeong-Ryeol .
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4170.

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  68. Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions. (2002). Gompers, Paul ; Cohen, Randolph B. ; Vuolteenaho, Tuomo .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8793.

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  69. THE CONSUMPTION-WEALTH AND BOOK-TO-MARKET RATIOS IN A DYNAMIC ASSET PRICING CONTEXT. (2002). Nieto, Belen ; Rodriguez-Barrera, Rosa.
    In: Working Papers. Serie EC.
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  70. Equilibrium Cross-Section of Returns. (2002). Zhang, Lu ; Gomes, João.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3482.

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  71. An Evaluation of International Asset Pricing Models. (2002). Dahlquist, Magnus ; Sallstrom, Torbjorn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3145.

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  72. Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns. (2002). Wang, Kevin Q. ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-11.

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  73. An Investment-Growth Asset Pricing Model. (2001). Xing, Yuhang ; Vassalou, Maria ; Li, Qing.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3058.

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  39. Split Sample Instrumental Variables. (1995). Krueger, Alan ; Angrist, Joshua.
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