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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?. (2004). Wachter, Jessica ; Ludvigson, Sydney ; Lettau, Martin.
In: NBER Working Papers.
RePEc:nbr:nberwo:10270.

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Cited: 44

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  1. Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2017). Steinsson, Jon ; Sergeyev, Dmitriy ; Nakamura, Emi.
    In: American Economic Journal: Macroeconomics.
    RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39.

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  2. Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2012). Steinsson, Jon ; Sergeyev, Dmitriy ; Nakamura, Emi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18128.

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  3. Risks for the Long Run and the Real Exchange Rate. (2011). Colacito, Riccardo ; Croce, Mariano M..
    In: Journal of Political Economy.
    RePEc:ucp:jpolec:doi:10.1086/659238.

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  4. Heterogeneous Impatience in a Continuous-Time Model. (2009). Hara, Chiaki.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:665.

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  5. Evolution of heterogeneous beliefs and asset overvaluation. (2009). Shapiro, Dmitry.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:45:y:2009:i:3-4:p:277-292.

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

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  7. Great moderations and U.S. interest rates: unconditional evidence. (2008). Smith, Gregor ; Nason, James.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2008-01.

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  8. Macroeconomic and financial market volatilities: an empirical evidence of factor model. (2008). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2008:i:33:p:1-18.

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  9. A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles. (2008). Scheffel, Eric.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2008/30.

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  10. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

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  11. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK. (2007). Spencer, Peter ; Kizys, Renatas.
    In: Discussion Papers.
    RePEc:yor:yorken:07/13.

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  12. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-293.

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

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  14. The determinants of stock and bond return comovements. (2007). Inghelbrecht, Koen ; Bekaert, Geert.
    In: Working Paper Research.
    RePEc:nbb:reswpp:200711-27.

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  15. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:73.

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  16. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities. (2007). Spencer, Peter ; Kizys, Renatas.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:140.

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  17. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?. (2007). Yu, Jun ; Wu, Yangru ; Phillips, Peter.
    In: Working Papers.
    RePEc:hkm:wpaper:222007.

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  18. Earnings Inequality and the Equity Premium. (2007). Walentin, Karl.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0215.

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  19. 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.

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  20. Are stock prices too volatile to be justified by the dividend discount model?. (2007). Salih, Aslhan Altay ; Ok, Suleyman Tulu ; Akdeniz, Levent.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:376:y:2007:i:c:p:433-444.

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  21. Multifrequency news and stock returns. (2007). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:86:y:2007:i:1:p:178-212.

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  22. Reconciling the Return Predictability Evidence. (2006). Van Nieuwerburgh, Stijn ; Lettau, Martin.
    In: 2006 Meeting Papers.
    RePEc:red:sed006:29.

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  23. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12797.

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  24. Can Housing Collateral Explain Long-Run Swings in Asset Returns?. (2006). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12766.

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  25. Equity Premia with Benchmark Levels of Consumption: Closed-Form Results. (2006). Abel, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12290.

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  26. Reconciling the Return Predictability Evidence. (2006). Van Nieuwerburgh, Stijn ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12109.

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  27. Macroeconomic volatility and the equity premium. (2006). Sill, Keith.
    In: Working Papers.
    RePEc:fip:fedpwp:06-1.

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  28. Impact of globalization on monetary policy. (2006). Rogoff, Kenneth.
    In: Proceedings - Economic Policy Symposium - Jackson Hole.
    RePEc:fip:fedkpr:y:2006:p:265-305.

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  29. Was there a Nasdaq bubble in the late 1990s?. (2006). Pastor, Lubos ; Veronesi, Pietro.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:81:y:2006:i:1:p:61-100.

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  30. Stock prices-inflation puzzle and the predictability of stock market returns. (2006). Boucher, Christophe.
    In: Economics Letters.
    RePEc:eee:ecolet:v:90:y:2006:i:2:p:205-212.

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  31. Information Quality and Stock Returns Revisited. (2005). d'Addona, Stefano ; Brevik, Frode.
    In: Finance.
    RePEc:wpa:wuwpfi:0511006.

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  32. Information Quality and Stock Returns Revisited. (2005). d'Addona, Stefano ; Brevik, Frode.
    In: University of St. Gallen Department of Economics working paper series 2005.
    RePEc:usg:dp2005:2005-24.

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  33. Uninsured Risks, Loan Contracts and the Declining Equity Premium. (2005). Basu, Parantap ; Banerjee, Sanjay.
    In: CDMA Conference Paper Series.
    RePEc:san:cdmacp:0502.

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  34. Risks For The Long Run And The Real Exchange Rate. (2005). Croce, Mariano ; Colacito, Riccardo.
    In: 2005 Meeting Papers.
    RePEc:red:sed005:794.

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  35. Consumption Strikes Back?: Measuring Long-Run Risk. (2005). Li, Nan ; Hansen, Lars ; Heaton, John .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11476.

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  36. Multifrequency News and Stock Returns. (2005). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11441.

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  37. Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR. (2005). DeSantis, Massimiliano ; De Santis, Massimiliano .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:62.

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  38. Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?. (2005). DeSantis, Massimiliano ; De Santis, Massimiliano .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
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  39. 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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  40. Alternative Methods for Projecting Equity Returns: Implications for Evaluating Social Security Reform Proposals. (2005). Sabelhaus, John.
    In: Risk Management and Insurance Review.
    RePEc:bla:rmgtin:v:8:y:2005:i:1:p:43-63.

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  41. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?. (2004). Ludvigson, Sydney ; Lettau, Martin.
    In: 2004 Meeting Papers.
    RePEc:red:sed004:644.

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  42. Exotic Preferences for Macroeconomists. (2004). Zin, Stanley ; Routledge, Bryan ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10597.

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  43. Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters. (2004). Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-52.

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  44. Whither monetary and financial stability? : the implications of evolving policy regimes : commentary. (2003). Gertler, Mark.
    In: Proceedings - Economic Policy Symposium - Jackson Hole.
    RePEc:fip:fedkpr:y:2003:p:213-223.

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References

References cited by this document

  1. (1991): A Variance Decomposition for Stock Returns, Economic Journal, 101, 157179.

  2. (1999): Comment on John Heaton and Deborah Lucas Stock Prices and Fundamentals, in National Bureau of Economic Research Macroeconomics Annual, 1999, ed. by B. S. Bernanke, and J. J. Rotemberg, pp. 253261. MIT Press, Cambridge, MA.

  3. (1999): Risk Premia and Term Premia in General Equilibrium, Journal of Monetary Economics, 43, 333.
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  4. (2001): Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay, Journal of Financial Economics, 60(1), 343.

  5. (2002): Expected Returns and Expected Dividend Growth, NBER Working Paper No. 9605.

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