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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

Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying

Lettau, Martin; Ludvigson, Sydney C. - In: Journal of political economy 109 (2001) 6, pp. 1238-1287

Persistent link: https://www.econbiz.de/10001631589

Comment on: Time-varying risk premia and the cost of capital : an alternative implication of the Q theory of investment

Eberly, Janice C. - In: Journal of monetary economics 49 (2002) 1, pp. 67-74

Persistent link: https://www.econbiz.de/10001641088

Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying

Lettau, Martin; Ludvigson, Sydney C. - 1999

Persistent link: https://www.econbiz.de/10001445447

tay's as good as cay: reply

Lettau, Martin; Ludvigson, Sydney C. - In: Finance research letters 2 (2005) 1, pp. 15-22

Persistent link: https://www.econbiz.de/10002685533

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

Comment on: pseudo-true SDFs in conditional asset pricing models

Ludvigson, Sydney C. - In: Journal of financial econometrics 18 (2020) 4, pp. 721-728

Persistent link: https://www.econbiz.de/10012405517

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. 39-83

This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...

Persistent link: https://www.econbiz.de/10011756863

Land of addicts? : an empirical investigation of habit-based asset pricing behavior

Chen, Xiaohong; Ludvigson, Sydney C. - 2004

Persistent link: https://www.econbiz.de/10002083607

Land of addicts? : an empirical investigation of habit-based asset pricing models

Chen, Xiaohong; Ludvigson, Sydney C. - In: Journal of applied econometrics 24 (2009) 7, pp. 1057-1093

Persistent link: https://www.econbiz.de/10003931091