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Investor information, long-run risk, and the duration of risky cash-flows
Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C. - 2007
Persistent link: https://www.econbiz.de/10003427571
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Investor information, long-run risk, and the term structure of equity
Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C. - In: The review of financial studies 28 (2015) 3, pp. 706-742
Persistent link: https://www.econbiz.de/10011337564
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The macroeconomic effects of government debt in a stochastic growth model
Ludvigson, Sydney C. - In: Journal of monetary economics 38 (1996) 1, pp. 25-45
Persistent link: https://www.econbiz.de/10001207454
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Consumer sentiment and household expenditure : reevaluating the forecasting equations
Ludvigson, Sydney C. - 1996
Persistent link: https://www.econbiz.de/10000979257
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The channel of monetary transmission to demand : evidence from the market for automobile credit
Ludvigson, Sydney C. - In: Journal of money, credit and banking : JMCB 30 (1998) 3, pp. 365-383
Persistent link: https://www.econbiz.de/10001250041
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The channel of monetary transmission to demand : evidence from the market for automobile credit
Ludvigson, Sydney C. - 1996
Persistent link: https://www.econbiz.de/10000968853
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Consumption and credit : a model of time-varying liquidity constraints
Ludvigson, Sydney C. - In: The review of economics and statistics 81 (1999) 3, pp. 434-447
Persistent link: https://www.econbiz.de/10001406168
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano M. - 2007
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10012465744
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INVESTOR INFORMATION, LONG-RUN RISK, AND THE DURATION OF RISKY CASH-FLOWS
Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C. - 2007
Persistent link: https://www.econbiz.de/10007603209
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Lettau, Martin; Ludvigson, Sydney C.; Croce, Mariano M. - National Bureau of Economic Research (NBER) - 2007
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10005774954