The Declining Equity Premium: What Role Does        Macroeconomic Risk Play?

The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2006)

Cached

Download Links

by Martin Lettau , Sydney C. Ludvigson , Jessica A. Wachter

Venue:	THE REVIEW OF FINANCIAL STUDIES
Citations:	23 - 0 self

BibTeX

@MISC{Lettau06thedeclining,
    author = {Martin Lettau and Sydney C. Ludvigson and Jessica A. Wachter},
    title = {The Declining Equity Premium: What Role Does Macroeconomic Risk Play?},
    year = {2006}
}

Bookmark

OpenURL

Abstract

Citations

582	The Equity Premium: a Puzzle - Mehra, Prescott
461	By Force of Habit: A Consumption-based Explanation of Aggregate Stock - Campbell, Cochrane - 1999
402	Substitution, Risk Aversion, an the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework - Epstein, Zin
322	Asset Pricing - Cochrane - 2001
265	Dividend yields and expected stock returns - Fama, French - 1988
251	Do stock prices move too much to be justified by subsequent changes in dividends - Shiller - 1981
174	Dividend yields and expected stock returns: alternative procedures for inference and measurement - Hodrick - 1992
150	Asset Pricing with Heterogeneous Consumers - Constantinides, Duffie
140	Has the U.S. economy become more stable? A Bayesian approach based on a Markov switching model of business cycle,” The Review of Economics and Statistics 81(4 - Kim, Nelson - 1999
126	The world price of covariance risk - Harvey - 1991
119	The Equity Premium Puzzle and the Risk-Free Rate Puzzle - Weil - 1989
94	2000, “Output Fluctuations in the United States: What has Changed Since the Early 1980’s - McConnell, Pérez-Quirós
83	Stock market overreaction to bad news in good times: A rational expectations equilibrium model - Veronesi - 1999
75	The Dividend-Price Ratio - Campbell, Shiller - 1988
72	Earnings and expected returns - Lamont - 1998
64	Valuation ratios and the long-run stock market outlook - Campbell, Shiller - 1998
61	Asset returns and intertemporal preferences - Kandel, Stambaugh - 1991
57	Tests of the hypothesis that a linear regression system obeys two separate regimes - Quandt
45	Amir Yaron (2004) “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles - Bansal
45	The prewar business cycle reconsidered: New estimates of gross national product - Romer - 1989
40	Stock prices under time-varying dividend risk. An exact solution in an infinite-horizon general equilibrium model - Abel - 1988
39	2001, “The Long and Large Decline - Blanchard, Simon
32	The Estimation of Prewar Gross National Product: Methodology and New Evidence - Balke, Gordon - 1989
29	Consumption and Credit: A Model of Time-Varying Liquidity Constraints.” The Review of Economics and Statistics 81 - Ludvigson - 1999
29	The equity premium and the risk-free rate : Matching the moments,’Journal of Monetary - Cecchetti, Lam, et al. - 1993
28	2003), “Computation and Analysis of Multiple Structural Change Models - Bai, Perron
28	2001): “The Less Volatile U.S. Economy: A Bayesian Investigation of Breadth - Kim, Nelson, et al.
25	The Equity Premium - Mehra, Prescott - 1985
24	Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective - Guvenen - 2006
22	2002, ‘Are Dividends Disappearing? Dividend Concentration and the Consolidation of Earnings - DeAngelo, DeAngelo, et al.
21	Bond and stock returns in a simple exchange model - Campbell - 1986
21	The shrinking equity premium - Siegel - 1999
20	Robustness and pricing with uncertain growth - Cagetti, Hansen, et al. - 2002
20	E-Capital: The Link between the Stock - Hall
20	2001): “Consumption, aggregate wealth and expected stock returns - Lettau, Ludvigson
19	2001, ‘Disappearing Dividends: Changing Firms Characteristics or Lower Propensity to Pay - Fama, French
16	Movements in the Equity Premium - Blanchard, J - 1993
13	Why don’t the prices of stocks and bonds move together - Barsky - 1989
12	Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Imiplications for the Equity Premium - Abel - 1994
10	Modeling expected stock returns for long and short horizons, Working paper 42-88 - Kandel, Stambaugh - 1989
9	The Declining U.S. Equity Premium. Federal Reserve Bank of Minneapolis Quarterly Review 24:3–19 - Jagannathan, McGrattan, et al. - 2000
9	Efficiency, Asset Returns, and the Size of the Risk Premium in Global Equity Markets - Bansal, Lundblad, et al. - 2002
8	2002 Habit formation: A resolution of the equity premium puzzle - Otrok, Ravikumar, et al.
7	Can a well-fitted equilibrium asset pricing model produce mean reversion - Bonomo, Garcia - 1994
7	A New Approach to the Analysis of Nonstationary - Hamilton - 1989
7	2002): “Taxes, Regulations, and the Value of U.S. Corporations: A General Equilibrium Analysis,” Federal Reserve Bank of Minneapolis Staff - McGrattan, Prescott
7	2000): “The Declining U.S - Jagannathan, McGrattan, et al.
6	The Equity Premium Puzzle and the Risk-Free Rate - Weil - 1989
4	Uncertainty and Liquidity - Giovannini - 1989
4	Ludvigson (2005): “Expected Returns and Expected Dividend Growth - Lettau, C