Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying (2001)

by Martin Lettau , Sydney Ludvigson , John Heaton , Ravi Jagannathan , Timothy Simin , Robert Vishny
Venue:Journal of Political Economy
Citations:137 - 4 self

Active Bibliography

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Federal Reserve Bank of New York Forthcoming in Journal of Political Economy – Martin Lettau, Sydney Ludvigson, To Nicholas Barberis, John Cochrane - 2001
1 A Cross-Sectional Test of Linear Factor Models With Time-Varying Risk Premia - or, The (C)CAPM is Alive and Well – Risk Premia, Martin Lettau, Sydney Ludvigson, Comments Welcome - 1999
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UNDERSTANDING ASSET PRICES compiled by the Economic Sciences Prize Committee of the Royal Swedish Academy of Sciences THE ROYAL SWEDISH ACADEMY OF SCIENCES has as its aim to promote the sciences and strengthen their influence in society. – unknown authors - 2013
Accessed: 30/03/2010 21:19 – F. Fama, Eugene F. Fama
Conditional Nonlinear Asset Pricing Kernels and the Size and Book-to-Market Effects – Stephen D. Burke - 2001
Lee Alice: Encyclopedia of Finance chap09 Revise Proof page 376 31.10.2005 7:28pm Chapter 9 CONDITIONAL ASSET PRICING – Wayne E. Ferson
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24 A Consumption-Based Explanation of Expected Stock Returns – Motohiro Yogo - 2006
19 Financial Markets and the Real Economy – John H. Cochrane - 2006
Photo courtesy of The Gateway Arch, St. Louis, MO. www.gatewayarch.comOn the Real-Time Forecasting Ability of the Consumption-Wealth Ratio – Hui Guo, Hui Guo - 2003
06-05 A Consumption-Based Explanation of Expected Stock Returns – Motohiro Yogo
17 Lazy investors, discretionary consumption, and the cross-section of stock returns – Author(s) Ravi Jagannathan, Yong Wang, Ravi Jagannathan, Yong Wang - 2007
36 The empirical risk-return relation: a factor analysis approach – Sydney C. Ludvigson , Serena Ng - 2007
31 Rational Asset Prices – George M. Constantinides - 2002
4 income risk and asset returns – Christian Julliard
Risks for the Long-Run and the Time-Series of Asset Returns – M. J. Rocha Armada, et al. - 2013
11 Tests of the Relations Among Marketwide Factors, Firm-specific Variables, and Stock Returns Using a Conditional Asset Pricing Model – Jia He, Raymond Kan, Lilian Ng, Chu Zhang - 1996