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The time-variation of risk and return in the foreign exchange and stock markets
Giovannini, Alberto; Jorion, Philippe - 1988
Persistent link: https://www.econbiz.de/10000755202
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Analyzing investments whose histories differ in length
Stambaugh, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000621946
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Asset prices, consumption, and the business cycle
Campbell, John Y. - 1998
Persistent link: https://www.econbiz.de/10000659469
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Why surplus consumption in the habit model may be less persistent than you think
Lynch, Anthony W.; Randall, Oliver - 2011
"In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the … external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return …
Persistent link: https://www.econbiz.de/10009006789
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Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004
Persistent link: https://www.econbiz.de/10002499370
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Risk and return : consumption versus market beta
Mankiw, N. Gregory; Shapiro, Matthew D. - 1984
Persistent link: https://www.econbiz.de/10002421634
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There is a risk-return tradeoff after all
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004
Persistent link: https://www.econbiz.de/10002482316
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Pricing the global industry portfolios
Cavaglia, Stefano M.; Hodrick, Robert J.; Vadim, Moroz; … - 2002
Persistent link: https://www.econbiz.de/10001714926
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Tobin's q and asset returns : implications for business cycle analysis
Christiano, Lawrence J. - 1995
Persistent link: https://www.econbiz.de/10000935808