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Asset pricing with endogenous disasters

Tiu, Cristian; Yoeli, Uzi - In: The review of financial studies 26 (2013) 11, pp. 2916-2960

Persistent link: https://www.econbiz.de/10010225875

Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance

Zhang, Hong - 2004

Persistent link: https://www.econbiz.de/10003551684

Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints

Marcet, Albert; Singleton, Kenneth J. - In: Macroeconomic dynamics 3 (1999) 2, pp. 243-277

Persistent link: https://www.econbiz.de/10001618327

Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints

Marcet, Albert; Singleton, Kenneth J. - 1998 - Rev

Persistent link: https://www.econbiz.de/10000992745

Specification analysis of affine term structure models

Dai, Qiang; Singleton, Kenneth J. - 1997

Persistent link: https://www.econbiz.de/10000637523

Durability of output and expected stock returns

Gomes, João; Kogan, Leonid; Yogo, Motohiro - 2007

The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...