8 research outputs found
Dissecting Characteristics Nonparametrically
- Author
- A Ang
- A Belloni
- A Chinco
- A Frazzini
- A.-M Anderson
- Andreas Neuhierl
- C S Asness
- C S Asness
- Chicago
- D P Brown
- D T Breeden
- E F Fama
- E F Fama
- E F Fama
- E F Fama
- E F Fama
- E F Fama
- F D&apos
- J Boudoukh
- J H Cochrane
- J H Cochrane
- J L Davis
- J S Abarbanell
- Joachim Freyberger
- K Balakrishnan
- K Daniel
- K H Chung
- L C Bhandari
- M D Cattaneo
- M J Cooper
- M W Brandt
- Michael Weber
- P Gagliardini
- R Ball
- S Basu
- S Basu
- S Chandrashekar
- S P Bandyopadhyay
- T Chordia
- T G Bali
- V Demiguel
- V T Datar
- W F De Bondt
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2017
- Field of study
The Cross-Section and Time-Series of Stock and Bond Returns. Unpublished Working Paper.
- Author
- Bas Werker
- Chicago Booth
- Eugene Fama
- George Constantinides
- Greg Duffee
- Hanno Lustig
- John Campbell
- John Cochrane
- John Heaton
- Jules Van Binsbergen
- Lars Hansen
- Lars Lochstoer
- Lubos Stavros Panageas
- Martin Lettau
- Maxim Ulrich
- Mungo Wilson
- Pastor Monika Piazzesi
- Pietro Veronesi
- Ralph S J Koijen
- Stijn Van Nieuwerburgh
- Tobias Moskowitz
- Publication venue
- Publication date
- 01/01/2010
- Field of study
Abstract We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in expected stock and bond returns. Its pricing factors are motivated by a decomposition of the pricing kernel into a permanent and a transitory component. Shocks to the transitory component govern the level of the term structure of interest rates and price the cross-section of bond returns. Shocks to the permanent component govern the dividend yield and price the average equity returns. Third, shocks to the relative contribution of the transitory component to the conditional variance of the SDF govern the Cochrane-Piazzesi (2005, CP) factor, a strong predictor of future bond returns. These shocks price the crosssection of book-to-market sorted stock portfolios. Because the CP factor is a strong predictor of economic activity one-to two-years ahead, shocks to the importance of the transitory component signal improving economic conditions. Value stocks are riskier and carry a return premium because they are more exposed to such shocks
Levered Returns and Capital Structure Imbalances
- Author
- A Hovakimian
- A K Ozdagli
- A K Ozdagli
- A Korteweg
- C A Hennessy
- Chicago Meetings Paper
- D Livdan
- F Belo
- F Belo
- F Modigliani
- Filippo Ippolito
- H.-C Chen
- I A Strebulaev
- I Lee
- I Obreja
- J F Gomes
- J F Gomes
- J F Gomes
- J Gomes
- J H Cochrane
- J Hahn
- K Hou
- L C Bhandari
- L X Liu
- L Zhang
- M Arellano
- M Halling
- M T Leary
- O Alt?nk?l?�
- R A Korajczyk
- R Blundell
- R Huang
- R J Caballero
- R Novy-Marx
- R S Hansen
- R S Warr
- Roberto Steri
- S C Myers
- S H Penman
- T Opler
- T W Bates
- U J Jermann
- W S Krasker
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2017
- Field of study
Technological Revolutions and Stock Prices
- Author
- &
- &
- &
- &
- &
- &
- &
- &
- &
- &
- &
- &
- Andrew Atkeson
- Baltimore &
- Bart Hobijn
- Bharath
- Boyan Jovanovic
- Boyan Jovanovic
- Boyan Jovanovic
- Boyan Jovanovic
- Boyan Jovanovic
- Burton G Malkiel
- Chicago
- Cincinnati
- Cleveland
- Columbus &
- Delaware
- Efraim Benmelech
- Francesco Caselli
- Frederic S Mishkin
- Gerard Hoberg
- Hartford
- Jeremy Greenwood
- Joel Mokyr
- John Laitner
- John Laitner
- John Laitner
- Lacrosse &
- Lee A Craig
- Lubos Pastor
- Macon &
- Mariana Mazzucato
- Mariana Mazzucato
- Maury Klein
- Paul A David
- Peter Demarzo
- Philippe Aghion
- Pietro Veronesi
- Robert W Fogel
- Rodolfo E Manuelli
- Stephen J Brown
- Timothy C Johnson
- V V Chari
- W Cochrane
- William N Goetzmann
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2008
- Field of study
Macroeconomic Ideas and Business Cycles: One Size Doesnnt Fit All
- Author
- - Collard F.- Dellas H. - Diba B B Canzoneri M
- - Eisenbach T.M. - Sannikov Y K Brunnermeier M
- - Herbst E.- Kiley M T T Chung H
- - Kydland F D E Bordo M
- - Landon Lane J D Bordo M
- - Leith C M Leeper E
- - Lippi F. - Paciello L E Alvarez F
- - Meissner C D M Bordo M
- - Platonov K E A Farmer R
- - Richardson G J Mitchener K
- - Sannikov Y K Brunnermeier M
- - Schwartz A D J Bordo M
- - Schwartz A D J Bordo M
- - Tallman E B W Gordon G
- -Eichengreen B N Dincer N
- -Farhi E.-Gourinchas P J O Caballero R
- -Farhi E.-Gourinchas P J O Caballero R
- -Flores Lagunes A.-Krause S G Cecchetti S
- -Gallegos C M A Maibo S
- -Gertler M. -Gilchrist S S Bernanke B
- -Harold J D Bordo M
- -Humpage O D F Bordo M
- -Kahn J J A Davis S
- -Kehoe P V J Chari V
- -Klemm A G Attinasi M
- -Landon Lane J. -Redish A D Bordo M
- -Meissner C D M Bordo M
- -Ohanian L N E Luzzetti M
- -Rey H O Gourinchas P
- -Rockoff H D Bordo M
- -Sannikov Y K Brunnermeier M
- -White E S N Mishkin F
- . - Fernald J.G. - Reinsdorf M Y B Byrne D
- A H Meltzer
- A Hornstein
- A Kahn
- A Kahn G
- A Krampf
- A Lewis P
- A M De Michelis - M
- A Mian
- A Orphanides
- A Orphanides
- A Silvo
- Acemoglu D. - Robinson J A Readings
- Acemoglu D. - Robinson J.A. - Verdier T
- Acemoglu D. -Carvalho V.M. -Ozdaglar A.-Tahbaz Salehi A
- Acemoglu D. -Johnson S.- Robinson J A
- Ahrend R
- Ahrend R.-Cournede B.-Price R W
- Aikman D. - Bush O. - Taylor A M
- Ajello A.- Laubach T. - Lopez Salido D. - Nakata T
- Aklin M. -Kern A
- Alesina A. - Azzali G. - Favero C.A. - Giavazzi F. - Miano A
- Alesina A. - Barbiero O. - Favero C.A. - Giavazzi F. - Paradisi M
- Alesina A. - Tabellini G
- Andreou E. -Eminodou S. -Zachariadis M
- Asryian V - Fornaro L. -Martin A. - Ventura J
- B Gorton G
- B S Bernanke
- Baldwin R. - Giavazzi F.
- Barrdear J. - Kumhof M
- Bassetto M.
- Bazot G.- Bordo M.D.- Monnet E
- Benigno P.- Nistico&apos
- Berardi M
- Berggren N. - Daunfeldt S.O. - Hellstrom J
- Berlemann M. - Hielscher K
- Blanchard O
- Blanchard O
- Blanchard O
- Blanchard O
- Blanchard O.-Giavazzi F
- Boianovsky M
- Brunnermeier M.K -Schnabel I
- Buiter W
- Bunea D
- C A Sims
- C Arteta -M
- C Binder
- C Borio
- C Borio
- C Borio
- C Dixon R. - Lim G
- C Dudley W
- C E Goncalves
- C Giannini
- C H Chen
- C J Waller
- C Pattipeilohy
- C Pattipeilohy
- C W Calomiris
- C. - Lowe P Borio
- Cerutti E.-Claessens S.-Laeven L
- Cesa Bianchi
- Chen K. -Higgins P. -Waggoner D.S. -Zha T
- Chen S. -Kim M. - Otte M. - Wiseman K. - Zdzienicka A
- Chicago Cochrane J.
- Chortareas G. - Logothetis V. - Magkonis G. - Zekente K M
- Claessens S
- Clarida R
- Clarida R
- D A Cooke
- D Bordo M
- D C Washington
- D Domanski
- D Kang
- D Kohn
- D Kohn
- D L Lombardi - P
- D Masciandaro -A
- D Schoenmaker -P
- D W Kang
- De Paoli B. -Paustian M
- Dehmej S. -Gambacorta L.
- Dellas H. -Tavlas G S
- Deutsche Bundesbank
- Donato Masciandaro
- Doyle N. - Hermans L. - Molitor P. - Weistroffer C
- Duffie D
- Dziuda W
- E Farhi
- E G Mendoza
- E Hansen G.D - Ohanian L
- E O Svensson L
- E Walsh C
- Eichehgreen B. - Temin P
- Eichengreen B. - O&apos
- Eijffinger S.-Masciandaro D
- Engel C
- Espinosa Vega
- European
- F Balassone
- F. Collard - Dellas H. - Diba B. - Loisel O
- Farvaque E. -Hericourt J. -Lagadec G
- Faure S. - Gersbach H
- Ferguson N.- Schaab A.- Schularick M
- Fisher S
- G Galati - R
- G Nuno -C
- G Osborne
- Gabaix X.
- Garcia Schmidt
- Garin J.- Lester R.-Sims E
- Garin J.-Lester R.-Sims E
- Garin J.-Lester R.-Sims E
- Garrone G.- Marchionatti R
- Geraats P
- Gerdesmeier D. -Mongelli F.P. -Roffia B
- Gerlach S. - Schnabel G
- Gilchrist S. -Shoenle R. -Sim J. - Zakrajsek E
- Godwin A.- Ramsay I
- Goodfriend M.-King R G
- Gopinath G
- Gordon G
- Greenwood R. - Hanson S.G - Stein J C Grilli
- Gurkaynak R.-Kantur Z. -Tas M. -Yildirim S
- Gylfason T.- Tomasson H. - Zoega G.
- H Rey
- H Ugai
- H Uhlig
- H White L
- Hellwig M
- Hendrickson J. -Beckworth D
- Hofmann B. - Bogdanova B
- Hoover K
- Horvath B. -Wagner W
- Howells P. - Mariscal I Uwe
- Ito T
- J B Taylor
- J B Taylor
- J B Taylor
- J B Taylor
- J B Taylor
- J B Taylor
- J B Taylor
- J B Taylor
- J B Taylor
- J Bibow
- J Boettke P
- J Bullard
- J C Stein
- J C Williams
- J C Williams
- J Caruana
- J Cochrane
- J Davis S
- J E Ihrig
- J F Villaverde
- J Gordon R
- J Gordon R
- J H Cochrane
- J L Yellen
- J Lacker
- J M Yellen
- J R Lothian
- J Taylor
- J Taylor -Wieland V
- J W Gruber
- J. - Stiglitz E De Figueiredo
- J. -Mendoza E G Bianchi
- J. -Quintyn M. -Masciandaro D De Haan
- Jokinen A. - Matysek Maslowska
- Jorda O. -Schularick M. -Taylor A M
- Jorda O. -Schularick M. -Taylor A M
- Juselius M. - Borio C. - Disyatat P. - Drehmann M
- K L Bullard
- Kates S
- Kenc T
- Kim S. - Mehorotra A
- Kocherlakota N
- Krugman P.
- L Ball
- L Ball
- L E O Svensson
- L Glaeser E
- L Rachel
- Laseen S.- Pescatori A. - Turunen J
- Levine R
- Lo S. - Rogoff K
- Lombardi D.-Moschella M
- Lovell M.-Lucas R.-Mortensen D. - Shiller R. - Wallace N
- M Angeletos G
- M Bech -A
- M Casiraghi -E
- M Cihak
- M D Bordo
- M D Bordo
- M Desai
- M Dobler
- M Draghi
- M Eisenbach T
- M Gertler
- M Goodfriend
- M Hatcher M. -P
- M K Brunnermeier
- M King
- M Mc
- M Reinhart
- M. -Siklos P Bordo
- Mahoney P
- Masciandaro D. - Volpicella A
- Masciandaro D. -Quintyn M
- Maslowska A
- Mauro P. -Zilinsky J
- Melecki M. -Podpiera A M
- Mimeo October
- N G Mankiw
- N Kocherlakota
- N Kocherlakota
- Nelson E
- O. - Dell&apos
- O. -Ostry J.-Ghosh A.-Chamon M Blanchard
- O.-Cerutti E. -Summers L Blanchard
- P Angelini - S
- P Cova
- P Ireland
- P Tucker
- P. -Yuemei J De Grauwe
- P.-Galizia D. -Portier F Beaudry
- Pinotti P
- R G D Anderson - M
- R Hetzel
- R Hetzel
- R L Hetzel
- R Nuutilainen
- R S Grossman
- Reis R.
- Richmond
- Richmond
- Rogoff K
- Romelli D.
- Romer P.
- S D Williamson
- S Dehmej -L
- S Fisher
- S G Cecchetti
- S Micossi
- S Onder A
- S Williamson
- Sergeyev D.
- Snowdon B. - Vane H R
- Stella P Berlin
- Stella P. -Lonnberg A
- T Lane
- Tabellini G
- Taylor J B B Taylor J
- Tcer Japan
- Teles P. - Uhlig H
- Tressel T. - Zhang Y
- U Bindseil
- U Bindsell
- Verona F.-Martins M.M. -Drumond I
- W Cun -J
- W H Buiter
- W J Den
- W R Cline
- Woodford M
- Woodford M.
- Yellen J
- Yu Q
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study
Risk and Return in General: Theory and Evidence
- Author
- A Alchian
- A Ang
- A B Abel
- A E Clark
- A E Clark
- A Flexner
- A Ilmanen
- A Kyle
- A S De Vany
- A S Kyle
- Ada Ferrer-I-Carbonell
- Adam Smith
- Andrew Ang
- Andrew Ang
- B A Frey
- B B Mandelbrot
- B B Mandelbrot
- B Fischhoff
- B G Malkiel
- B G Malkiel
- B Graham
- B M Barber
- B Mandelbrot
- B N Lehmann
- B Rosenberg
- B Rosenberg
- Barry Nalebuff
- Barry Schwartz
- Brad Barber
- Bruno S Frey
- Burton Malkiel
- C A Holt
- C B Erb
- C Darwin
- C S Jones
- Campbell Harvey
- Canada Maxwell Macmillan
- Canada Maxwell Macmillan
- Cary A Deck
- Cb Erb
- Charles M Jones
- Chen
- Chicago
- Chichester
- D Ariely
- D B Hausch
- D B Nelson
- D E Brown
- D G Myers
- D Ikenberry
- D Stattman
- David Blitz
- De Bondt
- De Santis
- E F Fama
- E F Fama
- E F Fama
- E Fama
- E Fama
- E Fama
- E Fama
- E I Altman
- E Miller
- E Zitzewitz
- Edward Altman
- Ef Fama
- Elroy Dimson
- Eric Falkenstein
- Eric G. Falkenstein
- Erik Lundberg
- F Black
- F Black
- F M Werner
- Fama Eugen
- G Connor
- G M Constantinides
- G Schwert
- G W Douglas
- Gary B Gorton
- Gene Amromin
- Gregg Easterbrook
- Gregory Connor
- H Markowitz
- H Markowitz
- H P Minsky
- Harry Markowitz
- I Domowitz
- Ivo Welch
- J C Cox
- J Conrad
- J D Coval
- J Guryan
- J Haidt
- J Heaton
- J Lintner
- J M Griffin
- J M Harrison
- J Mossin
- J Shanken
- J Shanken
- J Sobel
- J Tobin
- J Tooby
- J Treynor
- J Y Campbell
- Jack Treynor
- James Gleick
- Jay Ritter
- Jeremy Siegel
- John Cox
- John H Cochrane
- Johnnie E V Johnson
- Jordi Gali
- Judson A Caskey
- K B Diether
- K Daniel
- K J Arrow
- K Jacobs
- K L Arrow
- Kenneth L Fisher
- Kent Daniel
- L C Bhandari
- L Fisher
- L Glosten
- L P Hansen
- L Rayo
- L Santos-Pinto
- L Schechter
- Lawrence Fisher
- M Baker
- M C Jensen
- M E Blume
- M Friedman
- M Friedman
- M H Miller
- M J Machina
- M K Brunnermeir
- M L Weitzman
- M Lettau
- M M Carhart
- M Mead
- M O&apos
- M R Gibbons
- M R Gibbons
- M R Reinganum
- M Rabin
- M Rubinstein
- M Rubinstein
- M Rubinstein
- M Rubinstein
- M T Bradshaw
- M Vassalou
- M Weber
- Macmillan &
- Magnus Dahlquist
- Mark J Machina
- Marvin Minsky
- Maxwell Macmillan International
- Maxwell Macmillan International
- Merton H Miller
- Michael Harrison
- Michael J Blum
- N Chopra
- N Jegadeesh
- N Mailer
- N Mailer
- Niall J Gannon
- O J Blanchard
- O Terrance
- P A Samuelson
- P Brickman
- P L Bossaerts
- P Tanous
- Paul Ciotti
- Peter Bernstein
- Peter Bernstein
- Peter Demarzo
- Peter L Bernstein
- Peter L Bernstein
- Peter L Bernstein
- Prp Coelho
- Q Dai
- R A Easterlin
- R A Haugen
- R Ball
- R C Merton
- R Campbell
- R Engle
- R F Stambaugh
- R F Whitelaw
- R Frank
- R H Frank
- R J Barro
- R Jagannathan
- R Jagannathan
- R Jagannathan
- R Jagannathan
- R L Trivers
- R Layard
- R Lucas
- R Mehra
- R Mehra
- R Mehra
- R Roll
- R Roll
- R W Banz
- R W Fogel
- R Wermers
- Richard A Easterlin
- Richard A Easterlin
- Richard Feynman
- Richard West
- Rmwj Beetsma
- Robert A Haugen
- Robert A Haugen
- Robert Axelrod
- Robert F Stambaug
- Robert L Heilbroner
- Roger Clarke
- Rolf W Banz
- S A Ross
- S A Ross
- S Basu
- S Brown
- S Christopher
- S Frederick
- S Hersh
- S J Grossman
- S J Grossman
- S L Jones
- S Lakonishok
- S Lichtenstein
- Sh Penman
- Shih-Wei Wu
- Sophie X Ni
- Stephen G
- Steven Levitt
- Steven Pinker
- T A Garrett
- T A Garrett
- T A Rietz
- T C Opler
- T J Moskowitz
- T Loughran
- T R Insel
- T Shumway
- T Wolfe
- Tal Schwartz
- Terrance Odean
- Theodore Dalrymple
- Thorstein Veblen
- Tim C Opler
- Tim Loughran
- V Agarwal
- V S Bawa
- Von Neumann
- W F Sharpe
- W F Sharpe
- W F Sharpe
- W G�th
- W K Viscusi
- W N Goetzmann
- W Pesendorfer
- W W Hogan
- Walter Gutman
- Werner F M Debondt
- Wfm Debondt
- William F Sharpe
- William N Goetzmann
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2009
- Field of study