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The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010

"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...

Persistent link: https://www.econbiz.de/10003933912

The cross-section and time-series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012

Persistent link: https://www.econbiz.de/10009577595

Long run risk, the wealth-consumption ratio, and the temporal pricing of risk

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: The American economic review 100 (2010) 2, pp. 552-556

Persistent link: https://www.econbiz.de/10008748865

Review article: perspectives on the future of asset pricing

Brunnermeier, Markus Konrad; Farhi, Emmanuel; Koijen, … - In: The review of financial studies 34 (2021) 4, pp. 2126-2160

Persistent link: https://www.econbiz.de/10012504747

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69

Persistent link: https://www.econbiz.de/10011799154

Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn Van - In: American Economic Review 100 (2010) 2, pp. 552-56

Persistent link: https://www.econbiz.de/10008584574