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The declining equity premium : what role does macroeconomic risk play?

Lettau, Martin; Ludvigson, Sydney C.; Wachter, Jessica - In: The review of financial studies 21 (2008) 4, pp. 1653-1687

Persistent link: https://www.econbiz.de/10003765316

What drives stock prices? : Identifying the determinants of stock price movements

Balke, Nathan S.; Wohar, Mark E. - In: Southern economic journal 73 (2006) 1, pp. 55-78

Persistent link: https://www.econbiz.de/10003353857

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Guidolin, Massimo; Timmermann, Allan - In: Journal of applied econometrics 21 (2006) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10003309995

The declining equity premium : what role does macroeconomic risk play?

Lettau, Martin; Ludvigson, Sydney C.; Wachter, Jessica - 2006

Persistent link: https://www.econbiz.de/10003310560

Structural breaks and predictive regression models of aggregate US stock returns

Rapach, David E.; Wohar, Mark E. - In: Journal of financial econometrics : official journal of … 4 (2006) 2, pp. 238-274

Persistent link: https://www.econbiz.de/10003318450

A factor analysis of bond risk premia

Ludvigson, Sydney C.; Ng, Serena - 2009

"This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal...