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Do Investment-Based Models Explain Equity Returns? Evidence from Euler Equations
Delikouras, Stefanos - 2020
We investigate the empirical implications of the investment-based model of asset pricing for the Hansen-Jagannathan and Kozak-Nagel-Santosh discount factors in the linear span of equity returns. Our methodology is based on the equivalence between investment and equity returns implied by the...
Persistent link: https://www.econbiz.de/10012857454
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Consumption, earnings risk, and payout ratios
Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 6 (2019) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10012250845
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Substitution, risk aversion, and the temporal behavior of consumption and asset returns : a theoretical framework
Epstein, Larry G. - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 4, pp. 937-969
Persistent link: https://www.econbiz.de/10001070938
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Substitution, risk aversion, and the temporal behavior of consumption and asset returns : an empirical analysis
Epstein, Larry G. - In: Journal of political economy 99 (1991) 2, pp. 263-286
Persistent link: https://www.econbiz.de/10001105913
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A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem
Campbell, John Y. - In: Journal of economic dynamics & control 21 (1997) 2, pp. 273-295
Persistent link: https://www.econbiz.de/10001215829
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2012 - This draft: October 3, 2012
the estimated relative risk aversion parameter ranges from 17-60, with higher values for aggregate consumption than for …
Persistent link: https://www.econbiz.de/10009667007
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2011
Persistent link: https://www.econbiz.de/10009231453
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 38-83
Persistent link: https://www.econbiz.de/10009759923
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An estimation of economic models with recursive preferences
Chen, Xiaohong (contributor); Favilukis, Jack (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003616319
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Essays on consumption and expected returns
Yogo, Motohiro - 2004
Persistent link: https://www.econbiz.de/10003387664