23
H index
33
i10 index
4664
Citations
University of California-Berkeley | 23 H index 33 i10 index 4664 Citations RESEARCH PRODUCTION: 29 Articles 74 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Martin Lettau. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 4 |
Journal of Finance | 4 |
Journal of Financial Economics | 3 |
American Economic Review | 2 |
Macroeconomic Dynamics | 2 |
Review of Economic Dynamics | 2 |
Working Papers Series with more than one paper published | # docs |
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CEPR Discussion Papers / C.E.P.R. Discussion Papers | 26 |
NBER Working Papers / National Bureau of Economic Research, Inc | 22 |
Staff Reports / Federal Reserve Bank of New York | 4 |
2005 Meeting Papers / Society for Economic Dynamics | 2 |
2006 Meeting Papers / Society for Economic Dynamics | 2 |
Year | Title of citing document | |
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2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2022 | The Anatomy of the Global Saving Glut. (2022). Schularick, Moritz ; Novokmet, Filip ; Bauluz, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:161. Full description at Econpapers || Download paper | |
2021 | How does monetary policy affect income inequality in Japan? Evidence from grouped data. (2018). Feldkircher, Martin ; Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:1803.08868. Full description at Econpapers || Download paper | |
2021 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2021 | On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140. Full description at Econpapers || Download paper | |
2021 | High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309. Full description at Econpapers || Download paper | |
2021 | Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745. Full description at Econpapers || Download paper | |
2022 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper | |
2021 | Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963. Full description at Econpapers || Download paper | |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2021 | Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381. Full description at Econpapers || Download paper | |
2021 | Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981. Full description at Econpapers || Download paper | |
2021 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2021 | Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345. Full description at Econpapers || Download paper | |
2021 | Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028. Full description at Econpapers || Download paper | |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866. Full description at Econpapers || Download paper | |
2021 | Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh. In: Papers. RePEc:arx:papers:2109.00983. Full description at Econpapers || Download paper | |
2021 | Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773. Full description at Econpapers || Download paper | |
2021 | A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873. Full description at Econpapers || Download paper | |
2021 | An Economy of Neural Networks: Learning from Heterogeneous Experiences. (2021). Kuriksha, Artem. In: Papers. RePEc:arx:papers:2110.11582. Full description at Econpapers || Download paper | |
2022 | The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069. Full description at Econpapers || Download paper | |
2022 | Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032. Full description at Econpapers || Download paper | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
2022 | Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398. Full description at Econpapers || Download paper | |
2022 | The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104. Full description at Econpapers || Download paper | |
2022 | Deep Partial Least Squares for Empirical Asset Pricing. (2022). Polson, Nicholas G ; Dixon, Matthew F ; Goicoechea, Kemen. In: Papers. RePEc:arx:papers:2206.10014. Full description at Econpapers || Download paper | |
2022 | Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600. Full description at Econpapers || Download paper | |
2022 | Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | Expectation-Driven Term Structure of Equity and Bond Yields. (2022). Zhao, Guihai ; Zeng, Ming. In: Staff Working Papers. RePEc:bca:bocawp:22-21. Full description at Econpapers || Download paper | |
2021 | Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:972. Full description at Econpapers || Download paper | |
2021 | ETFs, illiquid assets, and fire sales. (2021). Todorov, Karamfil ; Shim, John J. In: BIS Working Papers. RePEc:bis:biswps:975. Full description at Econpapers || Download paper | |
2021 | Momentum, Reversals, and Business Cycle Turning Points. (2021). Xiao, Yuchao ; Min, Byoungkyu. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:4:p:679-708. Full description at Econpapers || Download paper | |
2021 | Do accounting information and market environment matter for cross?asset predictability?. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Thakerngkiat, Narongdech. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4389-4434. Full description at Econpapers || Download paper | |
2021 | The effect of increasing retirement age on consumption in China. (2021). Cao, Zhan ; Tang, Yizhou. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:35:y:2021:i:2:p:136-150. Full description at Econpapers || Download paper | |
2022 | Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385. Full description at Econpapers || Download paper | |
2022 | Is the value effect due to M&A deals? Evidence from the Italian stock market. (2022). Roma, Antonio. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12194. Full description at Econpapers || Download paper | |
2021 | Sentiment?scaled CAPM and market mispricing. (2021). Han, Xiao ; Doukas, John A. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:208-243. Full description at Econpapers || Download paper | |
2021 | Charitable inclination and the chief executive officers pay package. (2021). Mishra, Dev. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:1:p:85-108. Full description at Econpapers || Download paper | |
2021 | The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353. Full description at Econpapers || Download paper | |
2022 | The cross?sectional return predictability of employment growth: A liquidity risk explanation. (2022). Luo, DI ; Liu, Weimin ; Zhao, Huainan ; Park, Seyoung. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:155-178. Full description at Econpapers || Download paper | |
2022 | Persistence of investor sentiment and market mispricing. (2022). Sakkas, Nikolaos ; Han, Xiao ; Eshraghi, Arman ; Danbolt, JO. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640. Full description at Econpapers || Download paper | |
2021 | Variants of consumption?wealth ratios and predictability of U.S. government bond risk premia. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Epni, Ouzhan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:661-674. Full description at Econpapers || Download paper | |
2022 | Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142. Full description at Econpapers || Download paper | |
2021 | Equilibrium Asset Pricing with Leverage and Default. (2021). Schmid, Lukas ; Gomes, Joo F. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:977-1018. Full description at Econpapers || Download paper | |
2021 | Reinvestment Risk and the Equity Term Structure. (2021). Gonalves, Andrei S. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2153-2197. Full description at Econpapers || Download paper | |
2021 | Do Intermediaries Matter for Aggregate Asset Prices?. (2021). Muir, Tyler ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:2719-2761. Full description at Econpapers || Download paper | |
2021 | Valuing Private Equity Investments Strip by Strip. (2021). van Nieuwerburgh, Stijn ; Gupta, Arpit. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3255-3307. Full description at Econpapers || Download paper | |
2022 | Stock Market and No?Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599. Full description at Econpapers || Download paper | |
2022 | Monetary Policy and Asset Valuation. (2022). Ludvigson, Sydney C ; Lettau, Martin ; Bianchi, Francesco. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:967-1017. Full description at Econpapers || Download paper | |
2021 | Information?driven stock price comovement. (2021). Shang, Danjue ; Box, Travis. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:403-429. Full description at Econpapers || Download paper | |
2021 | Liquidity risk and the beta premium. (2021). Zhao, Huainan ; Luo, DI ; Gong, Cynthia M. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:789-814. Full description at Econpapers || Download paper | |
2021 | Economic Downturns and the Informativeness of Management Earnings Forecasts. (2021). Shaikh, Sarah ; Serfling, Matthew ; Maslar, David A. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:4:p:1481-1520. Full description at Econpapers || Download paper | |
2021 | Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302. Full description at Econpapers || Download paper | |
2022 | Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236. Full description at Econpapers || Download paper | |
2021 | There is no place like home: Information asymmetries, local asset concentration, and portfolio returns. (2021). Ling, David ; Scheick, Benjamin ; Naranjo, Andy. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:36-74. Full description at Econpapers || Download paper | |
2021 | Financial market spillovers of U.S. monetary policy shocks. (2021). Ha, Jongrim. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:5:p:1221-1274. Full description at Econpapers || Download paper | |
2021 | Disaggregate income and wealth effects on private consumption in Greece. (2021). Pavlou, Georgia ; Sideris, Dimitrios. In: Working Papers. RePEc:bog:wpaper:293. Full description at Econpapers || Download paper | |
2021 | The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16. Full description at Econpapers || Download paper | |
2021 | What triggers stock market jumps?. (2021). Davis, Steven ; bloom, nicholas ; Sammon, Marco ; Baker, Scott R. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1789. Full description at Econpapers || Download paper | |
2021 | Asset Prices and Business Cycles with Liquidity Shocks. (2021). Slavik, Ctirad ; Nezafat, Mahdi. In: CERGE-EI Working Papers. RePEc:cer:papers:wp711. Full description at Econpapers || Download paper | |
2021 | Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947. Full description at Econpapers || Download paper | |
2021 | Bargaining Shocks and Aggregate Fluctuations. (2021). Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo ; Drautzburg, Thorsten. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8989. Full description at Econpapers || Download paper | |
2021 | Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-Lotteries on the Stock Market. (2021). Sheridan, Adam ; Johannesen, Niels ; Andersen, Asger Lau. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9184. Full description at Econpapers || Download paper | |
2022 | Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect. (2022). Simsek, Alp ; Caballero, Ricardo J. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9632. Full description at Econpapers || Download paper | |
2022 | Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693. Full description at Econpapers || Download paper | |
2021 | What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_003. Full description at Econpapers || Download paper | |
2021 | What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: Working Paper Series. RePEc:ecb:ecbwps:20212613. Full description at Econpapers || Download paper | |
2021 | OFDI and stock returns: Evidence from manufacturing firms listed on the Chinese A-shares market. (2021). Xie, Shenxiang ; Woo, Wing Thye ; Wu, Huan ; Wang, Xiaosong. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000336. Full description at Econpapers || Download paper | |
2021 | How does housing wealth affect household consumption? Evidence from macro-data with special implications for China. (2021). Li, Cheng ; Zhang, Ying. In: China Economic Review. RePEc:eee:chieco:v:69:y:2021:i:c:s1043951x21000730. Full description at Econpapers || Download paper | |
2021 | Mimicking insider trades. (2021). Thapa, Chandra ; Neupane, Biwesh ; Marshall, Andrew. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000614. Full description at Econpapers || Download paper | |
2021 | Stakeholder orientation and the value of cash holdings: Evidence from a natural experiment. (2021). Park, Jong Chool ; Doukas, John A ; Chowdhury, Rajib. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001504. Full description at Econpapers || Download paper | |
2022 | Corporate hedging and the variance of stock returns. (2022). Brownlees, Christian ; Ippolito, Filippo ; Biguri, Kizkitza. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002698. Full description at Econpapers || Download paper | |
2022 | Unique bidder-target relatedness and synergies creation in mergers and acquisitions. (2022). Wei, Fengrong ; Shu, Tao ; Lu, Zhongjin ; Liu, Tingting. In: Journal of Corporate Finance. RePEc:eee:corfin:v:73:y:2022:i:c:s0929119922000396. Full description at Econpapers || Download paper | |
2021 | Risk matters: Breaking certainty equivalence in linear approximations. (2021). Polattimur, Hamza ; Posch, Olaf ; Parra-Alvarez, Juan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001834. Full description at Econpapers || Download paper | |
2022 | Asymmetries in risk premia, macroeconomic uncertainty and business cycles. (2022). Yeromonahos, Mallory ; Gortz, Christoph. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000355. Full description at Econpapers || Download paper | |
2021 | New evidence on COVID-19 and firm performance. (2021). Zhang, Zhekai ; Ren, Zhaomin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:213-225. Full description at Econpapers || Download paper | |
2021 | The impact of hedging on risk-averse agents’ output decisions. (2021). Dunbar, Kwamie ; Owusu-Amoako, Johnson. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002273. Full description at Econpapers || Download paper | |
2022 | Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281. Full description at Econpapers || Download paper | |
2021 | Risk attitude, financial literacy and household consumption: Evidence from stock market crash in China. (2021). Chen, Chen ; Jia, Qinmin ; Zhang, Yixing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:995-1006. Full description at Econpapers || Download paper | |
2021 | Intraday momentum and return predictability: Evidence from the crude oil market. (2021). Gong, XU ; Wen, Zhuzhu ; Xu, Yahua ; Ma, Diandian. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:374-384. Full description at Econpapers || Download paper | |
2021 | Effectiveness of Augmented Dollar-Cost Averaging. (2021). Lien, Donald ; Kapalczynski, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000103. Full description at Econpapers || Download paper | |
2021 | Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115. Full description at Econpapers || Download paper | |
2021 | Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x. Full description at Econpapers || Download paper | |
2021 | Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802. Full description at Econpapers || Download paper | |
2021 | Stock returns and carry trades. (2021). Qian, Zongxin ; Gang, Jianhua ; Chen, Zilin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001261. Full description at Econpapers || Download paper | |
2022 | Lessons from naïve diversification about the risk-reward trade-off. (2022). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001856. Full description at Econpapers || Download paper | |
2022 | Further evidence on financial information and economic activity forecasts in the United States. (2022). Li, Bin ; Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000079. Full description at Econpapers || Download paper | |
2021 | Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398. Full description at Econpapers || Download paper | |
2021 | Testing high-dimensional covariance matrices under the elliptical distribution and beyond. (2021). Chen, Jiaqi ; Zheng, Xinghua ; Yang, Xinxin. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:409-423. Full description at Econpapers || Download paper | |
2021 | Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056. Full description at Econpapers || Download paper | |
2022 | Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (2022). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:114-133. Full description at Econpapers || Download paper | |
2022 | Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:85-113. Full description at Econpapers || Download paper | |
2022 | Copula-based time series with filtered nonstationarity. (2022). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:127-155. Full description at Econpapers || Download paper | |
2022 | Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126. Full description at Econpapers || Download paper | |
2022 | Projected estimation for large-dimensional matrix factor models. (2022). Zhang, Xinsheng ; Kong, Xinbing ; He, Yong ; Yu, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:201-217. Full description at Econpapers || Download paper | |
2022 | The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224. Full description at Econpapers || Download paper | |
2021 | COVID-19-induced shocks and uncertainty. (2021). Rossi, Raffaele ; Miescu, Mirela. In: European Economic Review. RePEc:eee:eecrev:v:139:y:2021:i:c:s0014292121002087. Full description at Econpapers || Download paper | |
2022 | Financial intermediary leverage and monetary policy transmission. (2022). Li, Zehao. In: European Economic Review. RePEc:eee:eecrev:v:144:y:2022:i:c:s0014292122000332. Full description at Econpapers || Download paper | |
2021 | Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769. Full description at Econpapers || Download paper | |
2021 | Predictive regression with p-lags and order-q autoregressive predictors. (2021). Zhu, Min ; Wang, You-Gan ; Jayetileke, Harshanie L. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:282-293. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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1999 | Rules of Thumb versus Dynamic Programming In: American Economic Review. [Full Text][Citation analysis] | article | 62 |
2004 | Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review. [Full Text][Citation analysis] | article | 363 |
2003 | Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 363 | paper | |
2018 | Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 29 |
2018 | Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2018 | Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2001 | Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 967 |
2001 | Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2001) In: Scholarly Articles. [Full Text][Citation analysis] This paper has another version. Agregated cites: 967 | paper | |
2000 | Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 967 | paper | |
2001 | Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 905 |
1999 | Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 905 | paper | |
1999 | Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 905 | paper | |
2007 | Why Is Long?Horizon Equity Less Risky? A Duration?Based Explanation of the Value Premium In: Journal of Finance. [Full Text][Citation analysis] | article | 168 |
2005 | Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 168 | paper | |
2005 | Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 168 | paper | |
2005 | Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: 2005 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 168 | paper | |
2019 | Capital Share Risk in U.S. Asset Pricing In: Journal of Finance. [Full Text][Citation analysis] | article | 11 |
2018 | Capital Share Risk in U.S. Asset Pricing.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2014 | Capital Share Risk in U.S. Asset Pricing.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2015 | Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Origins of Stock Market Fluctuations In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
2014 | Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2014 | The Origins of Stock Market Fluctuations.(2014) In: 2014 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2017 | Monetary Policy and Asset Valuation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 32 |
2018 | Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2016 | Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2018 | Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 25 |
2020 | Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2018 | Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2018 | Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2018 | Factors that Fit the Time Series and Cross-Section of Stock Returns.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2020 | Factors That Fit the Time Series and Cross-Section of Stock Returns.(2020) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2018 | Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | How the Wealth Was Won: Factor Shares as Market Fundamentals In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2019 | How the Wealth Was Won: Factors Shares as Market Fundamentals.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
1997 | Preferences, Consumption Smoothing, and Risk Premia In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
1997 | Preferences, Consumption Smoothing and Risk Premia.(1997) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
1997 | Preferences, Consumption Smoothing and Risk Premia.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
1998 | Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2001 | Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?.(2001) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1998 | Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1998 | Dispersion and Volatility in Stock Returns: An Empirical Investigation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
1999 | Dispersion and Volatility in Stock Returns: An Empirical Investigation.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2001 | Robustness of Adaptive Expectations as an Equilibrium Selection Device In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 23 |
2003 | ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE.(2003) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
1995 | Robustness of Adaptive Expections as an Equilibrium Selection Device..(1995) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1995 | Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1995 | Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2001 | Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
2002 | Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment.(2002) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | article | |
2001 | Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2001 | Measuring and Modelling Variation in the Risk-Return Trade-off In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2002 | Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 169 |
2005 | Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 169 | article | |
2003 | Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 169 | paper | |
2005 | Euler Equation Errors In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 32 |
2005 | Euler Equation Errors.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2005 | Euler Equation Errors.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2009 | Euler Equation Errors.(2009) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2005 | Euler Equation Errors.(2005) In: 2005 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2005 | Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 211 |
2005 | The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 211 | article | |
2004 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 211 | paper | |
2008 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 211 | article | |
2004 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 211 | paper | |
2013 | Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 147 |
2014 | Conditional risk premia in currency markets and other asset classes.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | article | |
2013 | Conditional Risk Premia in Currency Markets and Other Asset Classes.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | paper | |
2002 | THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 23 |
2003 | Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models In: Economic Journal. [Full Text][Citation analysis] | article | 29 |
1997 | Explaining the facts with adaptive agents: The case of mutual fund flows In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 48 |
2005 | tays as good as cay: Reply In: Finance Research Letters. [Full Text][Citation analysis] | article | 15 |
2001 | Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 4 |
2011 | The term structures of equity and interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 75 |
2009 | The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
2002 | Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review. [Full Text][Citation analysis] | article | 62 |
2001 | A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports. [Full Text][Citation analysis] | paper | 10 |
1999 | Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports. [Full Text][Citation analysis] | paper | 473 |
2001 | Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying.(2001) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 473 | article | |
2013 | Shocks and Crashes In: NBER Chapters. [Full Text][Citation analysis] | chapter | 38 |
2011 | Shocks and Crashes.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2014 | Shocks and Crashes.(2014) In: NBER Macroeconomics Annual. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
2006 | Reconciling the Return Predictability Evidence In: NBER Working Papers. [Full Text][Citation analysis] | paper | 280 |
2008 | Reconciling the Return Predictability Evidence.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 280 | article | |
2006 | Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 280 | paper | |
2007 | Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers. [Full Text][Citation analysis] | paper | 69 |
2015 | Investor Information, Long-Run Risk, and the Term Structure of Equity.(2015) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | article | |
2022 | High-Dimensional Factor Models with an Application to Mutual Fund Characteristics In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | High Dimensional Factor Models with an Application to Mutual Fund Characteristics.(2021) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics. [Full Text][Citation analysis] | article | 174 |
1995 | Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 174 | paper | |
1995 | Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 174 | paper | |
2006 | Investor Information, Long-Run Risk, and the Duration fo Risky Assets In: 2006 Meeting Papers. [Full Text][Citation analysis] | paper | 10 |
2000 | LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS In: Computing in Economics and Finance 2000. [Citation analysis] | paper | 1 |
Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 6 | |
2000 | Cross-variable restrictions in Euler equations and risk premia In: Applied Economics Letters. [Full Text][Citation analysis] | article | 3 |
1995 | Rule of Thumb and Dynamic Programming In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
1995 | Rule of Thumb and Dynamic Programming.(1995) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1997 | Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996) In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
1997 | Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996).(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 8 |
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