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Cointegration and consumption risks in asset returns
Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - 2007
a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …
Persistent link: https://www.econbiz.de/10003472865
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Three essays on financial economics
Lee, Hangyong - 2003
Persistent link: https://www.econbiz.de/10003623717
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The consumption-wealth ratio, aggregate uncertainty and stock returns
Tshering, Lobsang Tenzin - In: Essays on consumption risk in international asset markets, (pp. 35-70). 2016
Persistent link: https://www.econbiz.de/10011536896
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Cointegration and consumption risks in asset returns
Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - In: The review of financial studies 22 (2009) 3, pp. 1343-1375
Persistent link: https://www.econbiz.de/10003827757
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Essays on macroeconomics and international finance
De Francisco, Eva - 2004
Persistent link: https://www.econbiz.de/10003555381
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Evaluating international consumption risk sharing gains : an asset return view
Lewis, Karen K.; Liu, Edith X. - In: Journal of monetary economics 71 (2015), pp. 84-98
Persistent link: https://www.econbiz.de/10011381612
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …
Persistent link: https://www.econbiz.de/10009752999
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Market incompleteness and the equity premium puzzle : evidence from state-level data
Jacobs, Kris; Pallage, Stéphane J.; Robe, Michel A. - In: Journal of banking & finance 37 (2013) 2, pp. 378-388
Persistent link: https://www.econbiz.de/10009705649
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Is consumption risk priced in the stock market?
Semenov, Andrei - In: Journal of empirical finance 26 (2014), pp. 112-130
Persistent link: https://www.econbiz.de/10010472000
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Stock returns with consumption and illiquidity risks
Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74
Persistent link: https://www.econbiz.de/10010431504