24
H index
34
i10 index
5048
Citations
University of California-Berkeley | 24 H index 34 i10 index 5048 Citations RESEARCH PRODUCTION: 29 Articles 75 Papers 1 Chapters RESEARCH ACTIVITY: 28 years (1995 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ple572 |
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 |
Macroeconomic Dynamics | 2 |
Review of Economic Dynamics | 2 |
American Economic Review | 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 | 23 |
Staff Reports / Federal Reserve Bank of New York | 4 |
2006 Meeting Papers / Society for Economic Dynamics | 2 |
2005 Meeting Papers / Society for Economic Dynamics | 2 |
Year | Title of citing document | |
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2023 | Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757. Full description at Econpapers || Download paper | |
2023 | Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773. Full description at Econpapers || Download paper | |
2023 | Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Surveying Generative AIs Economic Expectations. (2023). Bybee, Leland. In: Papers. RePEc:arx:papers:2305.02823. Full description at Econpapers || Download paper | |
2023 | More than Words: Twitter Chatter and Financial Market Sentiment. (2023). Vazquez-Grande, Francisco ; Silva, Diego ; Ajello, Andrea ; Adams, Travis. In: Papers. RePEc:arx:papers:2305.16164. Full description at Econpapers || Download paper | |
2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2023 | Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110. Full description at Econpapers || Download paper | |
2023 | The Covid-19 Pandemic and the Productivity Paradox. (2023). Mefford, Robert N. In: Journal of Behavioral Economics for Policy. RePEc:beh:jbepv1:v:7:y:2023:i:1:p:11-18. Full description at Econpapers || Download paper | |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper | |
2023 | Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257. Full description at Econpapers || Download paper | |
2023 | Toxic chemical releases and idiosyncratic return volatility: A prospect theory perspective. (2023). Zaman, Rashid ; Nadeem, Muhammad ; Bahadar, Stephen. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2109-2143. Full description at Econpapers || Download paper | |
2023 | Macroeconomic fundamentals and cryptocurrency prices: A common trend approach. (2023). Rodriguez, Ivan ; Zhang, Qianying ; Jiang, Xiaoquan. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:181-198. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Political geography and the value relevance of real options. (2023). Pantzalis, Christos ; Douidar, Shaddy ; Park, Jung Chul. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:703-733. Full description at Econpapers || Download paper | |
2023 | The price impact of analyst revisions and the state of the economy: Evidence around the world. (2023). Su, Chen. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:887-930. Full description at Econpapers || Download paper | |
2023 | Anticipation in leisure—Effects on labor?leisure choice. (2023). Monteiro, Goncalo ; Escobarposada, Rolando ; Chatterjee, Bibaswan. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:384-412. Full description at Econpapers || Download paper | |
2023 | Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557. Full description at Econpapers || Download paper | |
2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper | |
2023 | Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775. Full description at Econpapers || Download paper | |
2023 | Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe. (2023). Schuberth, Helene ; Feldkircher, Martin. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:859-893. Full description at Econpapers || Download paper | |
2023 | Uncertainty premia in REIT returns. (2023). Strobel, Johannes ; Ruf, Daniel ; Lotz, Marton. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:2:p:372-407. Full description at Econpapers || Download paper | |
2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper | |
2023 | Aggregate Insider Trading and Stock Market Volatility in the UK. (2023). Spagnolo, Nicola ; Kyriacou, Kyriacos ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10511. Full description at Econpapers || Download paper | |
2023 | Households’ Response to the Wealth Effects of Inflation. (2023). Weber, Michael ; Hackethal, Andreas ; Schnorpfeil, Philip. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10648. Full description at Econpapers || Download paper | |
2023 | Asset prices in a labor search model with confidence shocks. (2023). Krivenko, Pavel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002676. Full description at Econpapers || Download paper | |
2023 | Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173. Full description at Econpapers || Download paper | |
2023 | Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms. (2023). Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:599-616. Full description at Econpapers || Download paper | |
2023 | An empirical analysis of exchange-traded funds in the US. (2023). Moradi-Motlagh, Amir ; Valadkhani, Abbas. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:995-1009. Full description at Econpapers || Download paper | |
2023 | Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254. Full description at Econpapers || Download paper | |
2023 | The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978. Full description at Econpapers || Download paper | |
2023 | US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078. Full description at Econpapers || Download paper | |
2023 | Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775. Full description at Econpapers || Download paper | |
2023 | Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564. Full description at Econpapers || Download paper | |
2023 | Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44. Full description at Econpapers || Download paper | |
2023 | Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270. Full description at Econpapers || Download paper | |
2023 | Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301. Full description at Econpapers || Download paper | |
2023 | Approximate factor models with weaker loadings. (2023). Ng, Serena ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1893-1916. Full description at Econpapers || Download paper | |
2023 | Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics. (2023). Rodrigues, Paulo ; Stoykov, Marian Z ; Nicolau, Joo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2266-2284. Full description at Econpapers || Download paper | |
2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper | |
2023 | Expected returns and risk in the stock market. (2023). Taylor, Alex P ; Brennan, M J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:276-300. Full description at Econpapers || Download paper | |
2023 | Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340. Full description at Econpapers || Download paper | |
2023 | Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53. Full description at Econpapers || Download paper | |
2023 | Automated stock picking using random forests. (2023). Breitung, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:532-556. Full description at Econpapers || Download paper | |
2023 | Macroeconomic news and price synchronicity. (2023). Wang, Qingwei ; Eshraghi, Arman ; Cheema, Arbab K. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:390-412. Full description at Econpapers || Download paper | |
2023 | Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120. Full description at Econpapers || Download paper | |
2023 | A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057. Full description at Econpapers || Download paper | |
2023 | The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124. Full description at Econpapers || Download paper | |
2023 | Unemployment beta and the cross-section of stock returns: Evidence from Australia. (2023). Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000388. Full description at Econpapers || Download paper | |
2023 | A conditional higher-moment CAPM. (2023). Tucker, Jon ; Guermat, Cherif ; Vendrame, Vasco. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000406. Full description at Econpapers || Download paper | |
2023 | Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467. Full description at Econpapers || Download paper | |
2023 | Does foreign competition affect corporate debt maturity structure? Evidence from import penetration. (2023). Maghyereh, Aktham ; Atawna, Thaer ; Liu, Jia ; Zaman, Rashid ; Atawnah, Nader. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000558. Full description at Econpapers || Download paper | |
2023 | Hidden Gem or Fool’s Gold: Can passive ESG ETFs outperform the benchmarks?. (2023). Zakriya, Mohammed ; Jarvinen, Jesse ; Dumitrescu, Ariadna. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300056x. Full description at Econpapers || Download paper | |
2023 | ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297. Full description at Econpapers || Download paper | |
2023 | Nonlinear asset pricing in Chinese stock market: A deep learning approach. (2023). Xie, Ying ; Wang, Yiming ; Long, Suwan ; Pan, Shuiyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001436. Full description at Econpapers || Download paper | |
2023 | When stock return synchronicity meets investor sentiment. (2023). Xing, Yao ; Li, Xiao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000296. Full description at Econpapers || Download paper | |
2023 | Investor sentiment, style investing, and momentum. (2023). Harper, Adam ; Hao, Grace Qing ; Ashour, Samar. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000477. Full description at Econpapers || Download paper | |
2023 | Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593. Full description at Econpapers || Download paper | |
2023 | The Bank of Japans equity purchases and stock illiquidity. (2023). Yamada, Kazuo ; Takahashi, Hidenori ; Leung, Woon Sau ; el Kalak, Izidin. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s138641812200060x. Full description at Econpapers || Download paper | |
2023 | Profitability anomaly and aggregate volatility risk. (2023). Barinov, Alexander. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000714. Full description at Econpapers || Download paper | |
2023 | Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908. Full description at Econpapers || Download paper | |
2023 | Investor information and bank instability during the European debt crisis. (2023). Ross, Chase P ; Iorgova, Silvia. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001218. Full description at Econpapers || Download paper | |
2023 | Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989. Full description at Econpapers || Download paper | |
2023 | Market risks that change US-European equity correlations. (2023). Sarwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002037. Full description at Econpapers || Download paper | |
2023 | Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069. Full description at Econpapers || Download paper | |
2023 | Explaining accruals quality over time. (2023). Nelson, Karen K ; D'Adduzio, Jenna ; Christensen, Theodore E. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000982. Full description at Econpapers || Download paper | |
2023 | Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043. Full description at Econpapers || Download paper | |
2023 | Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681. Full description at Econpapers || Download paper | |
2023 | Schumpeterian competition in a Lucas economy. (2023). Carlin, Bruce I ; Andrei, Daniel. In: Journal of Economic Theory. RePEc:eee:jetheo:v:208:y:2023:i:c:s0022053123000091. Full description at Econpapers || Download paper | |
2023 | Presidential economic approval rating and the cross-section of stock returns. (2023). Wang, Liyao ; Huang, Dashan ; Da, Zhi ; Chen, Zilin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:106-131. Full description at Econpapers || Download paper | |
2023 | Sovereign risk premia and global macroeconomic conditions. (2023). Jeanneret, Alexandre ; Ekponon, Adelphe ; Andrade, Sandro C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:172-197. Full description at Econpapers || Download paper | |
2023 | Empirical evaluation of overspecified asset pricing models. (2023). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351. Full description at Econpapers || Download paper | |
2023 | Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431. Full description at Econpapers || Download paper | |
2023 | Volatility and informativeness. (2023). Parlatore, Cecilia ; Davila, Eduardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:3:p:550-572. Full description at Econpapers || Download paper | |
2023 | Financial markets and unemployment. (2023). Trigari, Antonella ; Quadrini, Vincenzo ; Monacelli, Tommaso. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:3:p:596-626. Full description at Econpapers || Download paper | |
2023 | Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244. Full description at Econpapers || Download paper | |
2023 | What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72. Full description at Econpapers || Download paper | |
2023 | Systematic default and return predictability in the stock and bond markets. (2023). Zhang, Shaojun ; Hou, Kewei ; Bao, Jack. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:349-377. Full description at Econpapers || Download paper | |
2023 | Is domestic uncertainty a local pull factor driving foreign capital inflows? New cross-country evidence. (2023). Furceri, Davide ; Choi, Sangyup ; Ciminelli, Gabriele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s026156062200167x. Full description at Econpapers || Download paper | |
2023 | An investment-based explanation of currency excess returns. (2023). Smallwood, Aaron D ; Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000311. Full description at Econpapers || Download paper | |
2023 | News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657. Full description at Econpapers || Download paper | |
2023 | Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001080. Full description at Econpapers || Download paper | |
2023 | On the concavity of consumption function under habit formation. (2023). Li, Lun ; Liu, Haoyu. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:106:y:2023:i:c:s0304406823000228. Full description at Econpapers || Download paper | |
2023 | Threats to central bank independence: High-frequency identification with twitter. (2023). Kung, Howard ; Kind, Thilo ; Gomez-Cram, Roberto ; Bianchi, Francesco. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:37-54. Full description at Econpapers || Download paper | |
2023 | Government debt and risk premia. (2023). Liu, Yang. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:18-34. Full description at Econpapers || Download paper | |
2023 | Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China. (2023). Yan, Youliang ; Lin, Jianyi ; Chen, Qi-An. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22001858. Full description at Econpapers || Download paper | |
2023 | ETF ownership and informational efficiency of underlying stocks: Evidence from China. (2023). Zhu, Feifei ; Wu, Weili. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000719. Full description at Econpapers || Download paper | |
2023 | Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza ; van Eyden, Renee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:295-302. Full description at Econpapers || Download paper | |
2023 | The role of the past long-run oil price changes in stock market. (2023). Wu, Shue-Jen . In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:274-291. Full description at Econpapers || Download paper | |
2023 | Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?. (2023). van Nguyen, Phuc ; Ngo, Vu Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000624. Full description at Econpapers || Download paper | |
2023 | Border disputes, conflicts, war, and financial markets research: A systematic review. (2023). Pandey, Dharen ; Kumar, Satish ; Lucey, Brian M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000983. Full description at Econpapers || Download paper | |
2023 | Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?. (2021). Lopez, Pierlauro. In: Working Papers. RePEc:fip:fedcwq:93000. Full description at Econpapers || Download paper | |
2023 | Nominal Rigidities and the Term Structures of Equity and Bond Returns. (2023). Vazquez-Grande, Francisco ; Lopez-Salido, David J. In: Working Papers. RePEc:fip:fedcwq:96114. Full description at Econpapers || Download paper | |
2023 | Perceptions about Monetary Policy. (2023). Pflueger, Carolin ; Bauer, Michael D ; Sunderam, Adi. In: Working Paper Series. RePEc:fip:fedfwp:97242. Full description at Econpapers || Download paper | |
2023 | More than Words: Twitter Chatter and Financial Market Sentiment. (2023). Vazquez-Grande, Francisco ; Adams, Travis ; Silva, Diego ; Ajello, Andrea. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-34. Full description at Econpapers || Download paper | |
2023 | Effects of Information Overload on Financial Markets: How Much Is Too Much?. (2023). Zer, Ilknur ; Valenzuela, Marcela ; Bernales, Alejandro. In: International Finance Discussion Papers. RePEc:fip:fedgif:1372. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Value and Contrarian Investment Strategies: Evidence from Indian Stock Market. (2023). Gupta, Pradeep Kumar ; Jagirdar, Sharneet Singh. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:113-:d:1065063. Full description at Econpapers || Download paper | |
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More than 100 citations found, this list is not complete... |
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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 | 403 |
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 nother version. Agregated cites: 403 | paper | |
2018 | Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 37 |
2018 | Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2018 | Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2001 | Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 1018 |
2001 | Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2001) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1018 | 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 nother version. Agregated cites: 1018 | paper | |
2001 | Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 965 |
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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 | 185 |
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 nother version. Agregated cites: 185 | 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 nother version. Agregated cites: 185 | 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 nother version. Agregated cites: 185 | paper | |
2019 | Capital Share Risk in U.S. Asset Pricing In: Journal of Finance. [Full Text][Citation analysis] | article | 14 |
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2014 | Capital Share Risk in U.S. Asset Pricing.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
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2014 | Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
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2017 | Monetary Policy and Asset Valuation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 39 |
2018 | Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2016 | Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2018 | Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
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2018 | Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2018 | Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 39 |
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 nother version. Agregated cites: 39 | 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 nother version. Agregated cites: 39 | article | |
2018 | Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2018 | Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2019 | How the Wealth Was Won: Factor Shares as Market Fundamentals In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
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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 nother version. Agregated cites: 14 | paper | |
1997 | Preferences, Consumption Smoothing and Risk Premia.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother 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 nother 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 | 2 |
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 nother 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 |
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1995 | Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother 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 nother 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 | 67 |
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 nother version. Agregated cites: 67 | 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 | 12 |
2001 | Measuring and Modelling Variation in the Risk-Return Trade-off In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2002 | Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 174 |
2005 | Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 174 | article | |
2003 | Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 174 | 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 nother version. Agregated cites: 32 | paper | |
2005 | Euler Equation Errors.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2009 | Euler Equation Errors.(2009) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2005 | Euler Equation Errors.(2005) In: 2005 Meeting Papers. [Full Text][Citation analysis] This paper has nother 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 | 1 |
2006 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 221 |
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2004 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 221 | 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 nother version. Agregated cites: 221 | article | |
2004 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 221 | paper | |
2013 | Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 173 |
2014 | Conditional risk premia in currency markets and other asset classes.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 173 | article | |
2013 | Conditional Risk Premia in Currency Markets and Other Asset Classes.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 173 | 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 | 34 |
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 | 50 |
2005 | tays as good as cay: Reply In: Finance Research Letters. [Full Text][Citation analysis] | article | 16 |
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 | 84 |
2009 | The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
2002 | Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review. [Full Text][Citation analysis] | article | 67 |
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 | 529 |
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 nother version. Agregated cites: 529 | 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 nother version. Agregated cites: 38 | paper | |
2014 | Shocks and Crashes.(2014) In: NBER Macroeconomics Annual. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
2006 | Reconciling the Return Predictability Evidence In: NBER Working Papers. [Full Text][Citation analysis] | paper | 301 |
2008 | Reconciling the Return Predictability Evidence.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 301 | article | |
2006 | Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 301 | paper | |
2007 | Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers. [Full Text][Citation analysis] | paper | 75 |
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 nother version. Agregated cites: 75 | 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 nother version. Agregated cites: 0 | paper | |
2022 | Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2023 | High-Dimensional Factor Models and the Factor Zoo 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 | 177 |
1995 | Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 177 | paper | |
1995 | Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 177 | 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 nother 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 nother 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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