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A consumption-based explanation of expected stock returns

Yogo, Motohiro (contributor) - 2005

Persistent link: https://www.econbiz.de/10003726194

Durability of output and expected stock returns

Gomes, João (contributor); Kogan, Leonid (contributor); … - 2007 - Rev.

"The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...

Persistent link: https://www.econbiz.de/10003726989

Second-order stochastic dominance, reward-risk portfolio selection, and the CAPM

De Giorgi, Enrico; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 525-546

Persistent link: https://www.econbiz.de/10003729147

Is the value premium a proxy for time-varying investment opportunities ? : some time-series evidence

Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 133-154

Persistent link: https://www.econbiz.de/10003854572

Long-run risks, the macroeconomy, and asset prices

Bansal, Ravi; Kiku, Dana; Yaron, Amir - 2010

Persistent link: https://www.econbiz.de/10003971758

A reexamination of the causes of time-varying stock return volatilities

Zhang, Chu - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 3, pp. 663-684

Persistent link: https://www.econbiz.de/10008657206

The impact of investability on asset valuation

Errunza, Vihang R.; Ta, Hai - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 5, pp. 1135-1163

Persistent link: https://www.econbiz.de/10011431154

Mispricing factors

Stambaugh, Robert F.; Yuan, Yu - 2016 - This draft: January 14, 2016

Persistent link: https://www.econbiz.de/10011521991

Interest rate risk and the cross section of stock returns

Lioui, Abraham; Maio, Paulo - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 2, pp. 483-511

Persistent link: https://www.econbiz.de/10010487113

Notes on bonds : liquidity at all costs in the great recession

Musto, David K.; Nini, Gregory P.; Schwarz, Krista - 2011 - Preliminary and incomplete

Persistent link: https://www.econbiz.de/10009295334