Asset Pricing References
All these papers concern expected returns related to these factors/characteristics
Ang, Adrew, Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, The Cross-Section of Volatility and Expected Returns, Journal of Finance. 61, 1, 259-299.
Ang, Adrew, Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2009. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence, 2009, Journal of Financial Economics, 91, 1, 1-23.
Blitz, David and van Vliet, Pim, 2007, The Volatility Effect: Lower Risk without Lower Return. April, Journal of Portfolio Management, pp. 102-113, Fall.
Van Dijk, Mathijs A. 2007. , Is Size Dead? A Review of the Size Effect in Equity Returns (February 2007). Available at SSRN: http://ssrn.com/abstract=879282
Drew, M.E., Veeraraghavan, M. 2002, "Idiosyncratic volatility and security returns: evidence from the Asian region", International Quarterly Journal of Finance, Vol. 2 pp.1-13.
Falkenstein, Eric. 1994. Mutual Funds, Idiosyncratic Variance, and Asset Returns. PhD. Dissertation. Northwestern University.
Haugen, Robert A. 1995. The new finance : the case against efficient markets, Contemporary issues in finance. Englewood Cliffs, N.J.: Prentice Hall.
Haugen, RA, and NL Baker. 1996. Commonality in the determinants of expected stock returns. Journal of Financial Economics 41 (3):401-439.
Haugen , Robert A. and Baker, Nardin L., Case Closed (November 20, 2008). The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, John B. Guerard Jr., ed., Forthcoming. Available at SSRN: http://ssrn.com/abstract=1306523
Han, B., and A. Kumar, 2008, “Retail Clienteles and the Idiosyncratic Volatility Puzzle,”. Working Paper, University of Texas at Austin
Jacobs, K, And Kq Wang. 2004. Idiosyncratic consumption risk and the cross section of asset returns. The Journal of Finance 59 (5):2211-2252.
Lehmann, Bruce N., 1990, Residual risk revisited, Journal of Econometrics 45, 71-97.
Malkiel, B. and Y. Xu, 2001, Idiosyncratic Risk and Security Returns, Unpublished Working Paper, University of Texas at Dallas.
Xu, Y., Malkiel, B.G. 2003, "Investigating the behavior of idiosyncratic volatility", Journal of Business, Vol. 76 No.4, pp.613-44.
Beta, Value, Size, and Momentum (the factors)
Basu, S. 1977. Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis.
Banz, RW. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1):3-18.
Beltratti, A., Massimo, D. 2002, "The cross-section of risk premia in the Italian stock market", Economic Notes, Vol. 31 pp.389-416.
Black, F, MC Jensen, and M Scholes. 1972. The capital asset pricing model: some empirical tests. Studies in the Theory of Capital Markets 81:79–121.
Black, Fischer. 1993. Estimating expected return. Financial Analysts Journal 49:36-36.
Black, Fischer, 1993, Beta and return, Journal of Portfolio Management, 20.
Blume, Marshall. 1975. Betas and Their Regression Tendencies. Journal of Finance. 30: 785-95.
Blume, Marshall and Irwin Friend, 1973. "A New Look at the. Capital Asset Pricing Model," Journal of Finance
Capeci, John. 2007. Beta Arbitrage. ArrowStreet Capital.
Campbell, J. and T. Vuolteenaho, 2004, Bad Beta, Good Beta, American Economic Review, 94, 1249-1275.
Chen, Long, Novy-Marx, Robert and Zhang, Lu, An Alternative Three-Factor Model (April 1, 2010). Available at SSRN: http://ssrn.com/abstract=1418117
Coleman R.D. 1997. A history of the Size Effect.
Daniel, K, and S Titman. 1998. Characteristics or covariances? (Digest Summary). Journal of Portfolio Management 24 (4):24-33.
Fama, Eugene F. and James D. MacBeth, 1973. “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy, 3 1973, 81, 607–636.
Fama, Eugene F, and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.
Fama, Eugene F and Kenneth French. 2004. The Capital Asset Pricing Model: Theory and Evidence.
Fama, E., and K. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56.
Fama, E., and A French. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50:131-131.
Fama, E., and K. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51, 55-84.
Fama, E, and K French. 2006. The value premium and the CAPM.. The Journal of Finance 61 (5): 2163-2185.
Fama, E, K French, and J Davis. 2000. Characteristics, covariances and average returns 1929–1997. Journal of Finance 55 (1):389–406.
Fletcher, J. 1997, "An examination of the cross-sectional relationship of beta and return: UK evidence", Journal of Economics and Business, Vol. 49 pp.211-21.
Ghysels, E., P. Santa-Clara, and R. Valkanov, 2005, There Is a Risk-Return Tradeoff After All, Journal of Financial Economics, Forthcoming.
Guo, H., 2005, Time-Varying Risk Premia and the Cross Section of Stock Returns, Journal of Banking and Finance, Forthcoming.
Harrison, P. and H. Zhang, 1999, An Investigation of the Risk and Return Relation at Long Horizons, Review of Economics and Statistics, 81, 399-408.
Heston, S.L., Rouwenhorst, G.K., Wessels, R.E. 1999, "The role of beta and size in the cross-section of European stock returns", European Financial Management, Vol. 5 pp.9-27.
Hwang, Soosung and Rubesam, Alexandre, Is Value Really Riskier than Growth? (March 2007). AFA 2007 Chicago Meetings Paper; Cass Business School Research Paper. Available at SSRN: http://ssrn.com/abstract=891707
Jagannathan, Ravi, and Z Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns, The Journal of Finance 51, 3-53.
Jagannathan, Ravi, and Zhenyu Wang, 1993, The CAPM is alive and well, Staff Report 165, Federal Reserve Bank of Minneapolis.
Jegadeesh, N, and S Titman. 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal Of Finance 48:65-65
Knez, P.J., and M.J. Ready. 1997. On the robustness of size and book-to-market in cross-sectional regressions. Journal Of Finance 52:1355-1382.
Kandel, S, and RF Stambaugh. 1995. Portfolio inefficiency and the cross-section of expected returns. Journal Of Finance 50:157-157.
Kothari, SP, and J Shanken. 1992. Stock return variation and expected dividends: A time series and cross-sectional analysis. Journal of Financial Econ
Kothari, SP, J Shanken, and RG Sloan. 1995. Another look at the cross-section of expected stock returns. Journal Of Finance 50:185-185.
Lettau, Martin and Ludvigson, Sydney C., Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia wre Time-Varying (November 1999). Eleventh Annual Utah Winter Conference; AFA 2001 New Orleans; FRB of New York Staff Reports, No. 93. Available at SSRN: http://ssrn.com/abstract=203369 or doi:10.2139/ssrn.203369
Loughran, Tim and Houge, Todd, Do Investors Capture the Value Premium?. Financial Management, Vol. 35, No. 2, Summer 2006. Available at SSRN: http://ssrn.com/abstract=929701
Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and
Lucas, R. 1978. Asset prices in an exchange economy. Econometrica 46 (6):1429-1445.
Lewellen, Jonathan and Stefan Nagel. 2006. “The Conditional CAPM Does Not Explain Asset Pricing Anomalies,” Journal of Financial Economics. 82 (2), 289–314.
Malkiel, B.G., Xu, Y. 1997, "Risk and return revisited", Journal of Portfolio Management, Vol. 23 pp.9-14.
Merton, R., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica, 41, 867-87.
Miller, MH, and M Scholes. 1972. Rates of return in relation to risk: a reexamination of some recent findings. Studies in the Theory of Capital Markets.
Mossin, J. 1966. Equilibrium in a Capital Asset Market. Econometrica 34 (4):768-783.
Pastor, L., and R. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 111, 642-685.
Reinganum, MR. 1981. Misspecification of capital asset pricing: empirical anomalies based on earnings yields and market values. Journal of Financial Eeconomics.
Roll, Richard., and S. A. Ross. 1994. On the cross-sectional relation between expected returns and betas. Journal of Finance 49 (1):101-121
Ross, SA. 1993. Is beta useful?. The CAPM controversy: policy and strategy implications for investment management, AIMR, Charlottesville, pages:11-15.
Shanken, J. 1985. Multivariate tests of the zero-beta CAPM. Journal of Financial Economics 14 (3):327–348.
Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(1), pages 1-33.
Sharpe, WF. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19 (3):425-442.
Treynor, J. 1961. Toward a theory of market value of risky assets. Unpublished Manuscript.
Benzoni, Luca, Pierre Collin-Dufresne, Robert S. Goldstein. 2005. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options
Backus, David K., Chernov, Mikhail and Martin, Ian, Disasters Implied by Equity Index Options (August 2009). NBER Working Paper No. w15240
Branger, Nicole, Hansis, Alexandra and Schlag, Christian. 2009. Expected Option Returns and the Structure of Jump Risk Premia (February 20, 2009).
Broadie, Mark, Johannes, Michael S. and Chernov, Mikhail. 2007. Understanding Index Option Returns (May 3, 2007).
Ni, Sophie X. 2007. Stock Option Returns: A Puzzle.
Hodges, Stewart D., Tompkins, Robert George and Ziemba, William T. 2003. The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance. EFA 2003 Annual Conference Paper No. 135; Sauder School of Business Working Paper. Available at SSRN: http://ssrn.com/abstract=424421 or doi:10.2139/ssrn.424421
Shumway, Tyler and Coval, Joshua D., Expected Option Returns (June 2000). Available at SSRN: http://ssrn.com/abstract=189840 or doi:10.2139/ssrn.189840
Heaton, John, and Deborah Lucas, 1996, Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing, Journal of Political Economy, 104, 443-87.
Heaton, J, and D Lucas. 2000. Portfolio choice and asset prices: the importance of entrepreneurial risk. The Journal of Finance 55 (3):1163-1198.
Heaton, John and Lucas, Deborah, 2001, Capital Structure, Hurdle Rates, and Portfolio Choice — Interactions in an Entrepreneurial Firm, Working paper, University of Chicago, Internal Revenue Service.
Moskowitz, T. J., and A. Vissing-Jorgensen. 2002. The returns to entrepreneurial investment: A private equity premium puzzle? American Economic Review 92, 745.
Agarwal, V, and R Taffler. 2003. The distress factor effect in equity returns: market mispricing or omitted variable? Staff Research Seminar Series, M
Bhandari, LC. 1988. Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. Journal of Finance 43 (2):507-28.
Caskey, Judson A., John S. Hughes, and Jing Liu. 2008. Leverage, Excess Leverage and Future Stock Returns: SSRN.
Chelley-Steeley, P.L., Steeley, J.M. 1996, "Volatility, leverage and firm size: the UK evidence", The Manchester School of Economic and Social Studies, Vol. 64 pp.83-104.
Miller, M., "The Modigliani-Miller propositions after thirty years," Journal of Economic Perspective, Fall 1988, 2:4, 99-120.
Penman, S., S. Richardson and I. Tuna. 2007. “The Book-to-Price Effect in Stock Returns: Accounting for Leverage.” Journal of Accounting Research 45: 427–467.
Sivaprasad, Sheeja and Muradoglu, Yaz Gulnur, Using Leverage as a Risk Factor in Explaining the Cross Section of Stock Returns (Feb 2010,). Available at SSRN: http://ssrn.com/abstract=1101504
Carhart, MM. 1997. On persistence in mutual fund performance. Journal Of Finance 52:57-82.
Jensen, MC. 1968. The performance of mutual funds in the period 1945-64. Journal of Finance 23 (2):389-416.
Malkiel, Burton G, 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance 50, 549–572.
Sharpe, William. 1966. Mutual Fund Performance. Journal of Business.
Sharpe, William, 1965. Risk-Aversion in the Stock Market - Some Empirical Evidence," Journal of Finance, September 1965, pp. 416-422
Treynor, J, and K Mazuy. 1966. Can mutual funds outguess the market. Harvard Business Review 44 (4):131-136.
Wermers, R. 2000. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses. The Journal of Finance.
Wermers, Russ R., Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance. Available at SSRN: http://ssrn.com/abstract=136738
Alvarez, Fernando, Andy Atkeson, and Patrick Kehoe, “Time-Varying Risk, Interest Rates and Exchange Rates in General Equilibrium,” 2005. Working paper No 627 Federal Reserve Bank of Minneapolis Research Department.
Bekaert, Geert and Ivan Shaliastovich, “Long-Run Risks Explanation of Forward Premium Puzzle,” April 2007. Working Paper Duke University.
Bekaert, Geert and Robert J. Hodrick, “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” The Journal of Political Economy, October 1980, 88 (5), 829–853.
Bacchetta, Philippe and Eric van Wincoop, “Incomplete Information Processing: A Solution to the Forward Discount Puzzle,” September 2006. Working Paper University of Virginia.
Backus, David, Silverio Foresi, and Chris Telmer, “Affine Models of Currency Pricing: Accounting for the Forward Premium Anomaly,” Journal of Finance, 2001, 56, 279–304.
Bekaert, Geert, “The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets,” Journal of Business and Economic Statistics, 1995, 13 (4), 397–408.
Bekaert, Geert, and Robert J. Hodrick, “Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,” The Journal of Finance, 1992, 47, 467–509.
Bekaert, Geert, Robert Hodrick, and David Marshall, “The Implications of First-Order Risk Aversion for Asset Market Risk Premiums,” Journal of Monetary Economics, 1997, 40, 3–39.
Brennan, Michael J. and Yihong Xia, “International Capital Markets and Foreign Exchange Risk,” Review of Financial Studies, 2006, 19 (3), 753–795.
Brunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen. 2008. “Carry Trades and Currency Crashes,” NBER Macroannual.
Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo, “The Returns to Currency Speculation in Emerging Markets,” American Economic Review Papers and Proceedings, May2007, 97 (2), 333–338.
Fama, Eugene, “Forward and Spot Exchange Rates,” Journal of Monetary Economics, 1984, 14,319–338.
Farhi, Emmanuel and Xavier Gabaix, “Rare Disasters and Exchange Rates: A Theory of the Forward Premium Puzzle,” October 2007. Working Paper Harvard University.
Frachot, Antoine, “A Reexamination of the Uncovered Interest Rate Parity Hypothesis,” Journal of International Money and Finance, 1996, 15 (3), 419–437.
Frankel, Jeffrey and Jumana Poonawala, “The Forward Market in Emerging Currencies: Less Biased than in Major Currencies,” 2007. Working paper NBER No. 12496.32
Froot, Kenneth and Richard Thaler. 1990. “Anomalies: Foreign Exchange,” The Journal of Economic Perspectives, 3, 4, 179–192.
Gourinchas, Pierre-Olivier and Aaron Tornell, “Exchange Rate Puzzle and Distorted Be- liefs,” Journal of International Economics, 2004, 64 (2), 303–333.
Graveline, Jeremy J., “Exchange Rate Volatility and the Forward Premium Anomaly,” 2006. Working Paper.
Hodrick, Robert. 1987. The empirical evidence on the efficiency of forward and futures foreign exchange markets. , Harwood, New York.
Harrell Louis and Dale Fischer. 2005. The 1982 Meican peso devaluation and border area employment.
Lothian, James R. and Wu, Liuren, Uncovered Interest Rate Parity over the Past Two Centuries (June 12, 2003). Available at SSRN: http://ssrn.com/abstract=585462
Lustig, Hanno N., Roussanov, Nikolai L. and Verdelhan, Adrien, Common Risk Factors in Currency Markets (June 25, 2009). Paris December 2008 Finance International Meeting AFFI - EUROFIDAI. Available at SSRN: http://ssrn.com/abstract=1139447
Kemp, MC, RJ Hodrick, and HY Wan. 2001. The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets: Routledge.
Plantin, Guillaume and Hyun Song Shin, “Carry Trades and Speculative Dynamics,” July 2007. Working Paper Princeton University.33
Stambaugh, Robert F., “The information in forward rates : Implications for models of the term structure,” Journal of Financial Economics, May 1988, 21 (1), 41–70.
World Equity Returns
Barro, RJ. 2006. Rare disasters and asset markets in the twentieth century. The Quarterly Journal of Economics 121 (3):823-866.
Brown, S., W. Goetzmann, R. Ibbotson and S. Ross, 1992, Survivorship Bias in Performance Studies Review of Financial Studies 5, 553-580.
Brown, S., W. Goetzmann, R. Ibbotson and S. Ross, 1995, Survival. NYU Working Paper No. FIN-94-021. Available at SSRN: http://ssrn.com/abstract=1299392
Dahlquist, Magnus, and Ravi Bansal. 2002. Expropriation Risk and Return in Global Equity Markets: SSRN.
Dimson, E., Marsh, P. (2001), "U.K. financial market returns, 1955-2000", Journal of Business, Vol. 74 pp.1-31.
Dimson, Elroy, Paul Marsh and Mike Staunton, Mike, 2006, The Worldwide Equity Premium: A Smaller Puzzle, EFA Zurich Meetings Paper http://ssrn.com/abstract=891620.
Erb, Cb, Cr Harvey, And Te Viskanta. 1995. Country risk and global equity selection. Journal of Portfolio Management 21 (2):74-83.
Goetzmann, William N. and Jorion, Philippe, Re-Emerging Markets. Journal of Financial and Quantitative Analysis, March 1999. Available at SSRN: http://ssrn.com/abstract=142143
Distressed Company Equities
Agarwal, Vineet and Taffler, Richard J, The Distress Factor Effect in Equity Returns: Market Mispricing or Omitted Variable? EFMA 2003 Helsinki Meetings.
Campbell, John Y, Jens Hilscher and Jan Szilagyi, 2005. In Search of Distress Risk, Harvard Institute of Economic Research, Working Papers 2081.
Dichev, Ilya, 1998, Is the Risk of Bankruptcy a Systematic Risk? Journal of Finance 53, 1131-1148.
Griffin, JM, and ML Lemmon. 2002. Book-to-market equity, distress risk, and stock returns. The Journal of Finance 57 (5):2317-2336.
Opler, TC, and S Titman. 1994. Financial distress and corporate performance. Journal Of Finance 49:1015-1015.
Vassalou, Maria, and Yuhang Xing, 2004, Default Risk in Equity Returns, Journal of Finance 59, 831-68.
Zhang, Lu. 2007. Discussion: "In Search of Distress Risk" by Campbell, Hilscher and Szilagyi.
High Yield and Distressed Bonds
Altman, Edward and Gaurav Bana, 2004, Defaults and Returns on High Yield Bonds, Journal of Portfolio Management, Winter 30, 58-73
Altman, Edward and William Stonberg, 2006, The Market in Defaulted Bonds and Bank Loans, Journal of Portfolio Management, Summer.
Kozhemiakin, A. 1997. The risk premium of corporate bonds. Journal of Portfolio Management (Winter 2006).
Ang, Andrew, Geert Bekaert and Min Wei. 2007. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?" Journal of Monetary Economics, 54, 1163-1212.
Campbell, J. Y. 1987. Stock returns and the term structure. Journal of Financial Economics 18 (2):373-399.
Cochrane, John H.,, Asset Pricing, Princeton, N.J.: Princeton University Press, 2001. and Monika Piazzesi, “Bond Risk Premia,” The American Economic Review, March 2005,
Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, “A Theory of the Term Structure of Interest Rates,” Econometrica, 1985, 53 (2), 385–408.
Dai, Q, and KJ Singleton. 2002. Expectation puzzles, time-varying risk premia, and affine models of the term structure. Journal of Financial Economics
Ilmanen, A. 1996. When do bond markets reward investors for interest rate risk? Journal of Portfolio Management 22:52-65.
Erb, C. B., and C. R. Harvey. 2006. The strategic and tactical value of commodity futures. Financial Analysts Journal 62 (2):69-97.
Gorton, G, and G. Rouwenhorst, 2005, Facts and Fantasies About Commodity Futures, forthcoming Financial Analysts Journal.
DeVany, AS. 2004. Hollywood Economics: How Extreme Uncertainty Shapes the Film Industry: Routledge.
DevVany, Art, 2003. Hollywood Economics (Routledge).
DeVany, Arthur S. and Walls, W. David. 2000. Does Hollywood Make Too Many R-Rated Movies?: Risk, Stochastic Dominance, and the Illusion of Expectation (June 5, 2000). Available at SSRN: http://ssrn.com/abstract=231635 or doi:10.2139/ssrn.231635
Cain, Michael, David Law, and David Peel, 2000, The Favourite-Longshot Bias and Market Efficiency in UK Football betting, Scottish Journal of Political Economy 47, 25-36.
Hausch, Donald B, Victor Lo and William T. Ziemba, Eds. 1994. Efficiency of Racetrack Betting Markets, Academic Press, San Diego.
Thaler, Richard and William Ziemba. "Parimutual Betting Markets: Racetracks and Lotteries." Journal of Economic Perspectives 2(2), (1988):161-174
Woodland, Linda M. and Bill M. 1994. Market Efficiency and the Favorite-Longshot Bias: The Baseball Betting Market. Journal of Finance.
Winter, Stefan and Kukuk, Martin, Risk Love and the Favorite-Longshot Bias: Evidence from German Harness Horse Racing. Available at SSRN: http://ssrn.com/abstract=940368
Ziemba, William T. and Donald B. Hausch. 1986. Beat the Racetrack. San Diego: Harcourt, Brace & Jovanovich.
Bhattacharyya, Nalinaksha and Garrett, Thomas A., "Why People Choose Negative Expected Return Assets - An Empirical Examination of a Utility Theoretic Explanation" (March 15, 2006). Available at SSRN: http://ssrn.com/abstract=891759
Coughlin, Cletus C., and Thomas A. Garrett. 2008. Income and Lottery Sales: Transfers Trump Income from Work and Wealth. St. Louis Fed Working Paper.
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Aggregate Volatility over Time
Rosenberg, Joshua V, and Adrian, Tobias. 2006. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (July). FRB of New York Staff Report No. 254.
Amromin, Gene and Sharpe, Steven A., Expectations of Risk and Return Among Household Investors: Are Their Sharpe Ratios Countercyclical? (February 20, 2009). Available at SSRN: http://ssrn.com/abstract=1327134
French, K., W. Schwert, and R. Stambaugh, 1987, Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.
Glosten, L., R. Jagannathan, and D. Runkle, 1993, On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, 48, 1779-1801.
Goyal, A. and P. Santa-Clara, 2003, Idiosyncratic Risk Matters! Journal of Finance, 58, 975-1007.
Nelson, DB. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59 (2):347-370.
Whitelaw, R., 1994, Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns, Journal of Finance, 49, 515-541.
Initial Public Offerings
Loughran, T, and JR Ritter. 1995. The new issues puzzle. Journal Of Finance 50:23-23.
Anderson, Evan W., Ghysels, Eric and Juergens, Jennifer L. 2009. The Impact of Risk and Uncertainty on Expected Returns.
Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002. "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 171-205.
Diether, KB, CJ Malloy, and A Scherbina. 2002. Differences of opinion and the cross section of stock returns. The Journal of Finance 57 (5):2113-2141.
Easley, D., S. Hvidkjaer, and M. O’Hara, 2002, Is Information Risk a Determinant of Asset Returns? Journal of Finance, 57, 2185-2221.
Gharghori, Philip, Veeraraghavan, Madhu and See, Quin, Is Difference of Opinion Among Investors a Source of Risk? (May 2007). Available at SSRN: http://ssrn.com/abstract=975003
Hong, H. and J. Stein, 2003, Differences of Opinion, Short-Sales Constraints and Market Crashes, Review of Financial Studies, 16, 487-525.
Miller, E., 1977, Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32, 1151-1168.
O'Hara, M. 2003. Presidential address: liquidity and price discovery. The Journal of Finance 58 (4):1335-1354.
Priestley, Richard and Bernt Arne Ødegaard. 2005. Another look at Breadth of Ownership and Stock Returns
Equity Risk Premium
Barber, Brad and Terrance Odean, 2000, Too Many Cooks Spoil the Profits: The Performance of Investment Clubs, Financial Analyst Journal 56, 17-25.
Barber, Brad M., Yi-Tsung, Lee, Yu-Jane Liu, and Terrance Odean, 2005, Do Individual Day Traders Make Money? Evidence from Taiwan, January, SSRN: http://ssrn.com/abstract=529063
Barber, Brad, and Terrance Odean, 2001, Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors, Journal of Finance 55, 773-806
Blanchard, Olivier Jean, 1993, Movements in the equity premium, Brookings Papers on Economic Activity, Macroeconomics 2, 75–118.
Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
Blum, Michael, and Niall J. Gannon. 2006, After-Tax Returns on Stocks Versus Bonds for the High Tax Bracket Investor, Journal of Wealth Management. Fall
Conrad, J, and G Kaul. 1993. Long-term market overreaction or biases in computed returns? Journal Of Finance 48:39-39.
De Santis, Massimiliano. 2004. Movements in the Equity Premium: Evidence from a Bayesian Time Varying VAR: SSRN.
Dichev, Ilya, 2007, What are Stock Investors Actual Historical Returns? Evidence from Dollar Weighted Returns, American Economic Review, 97.
Fama, E. and French, K. 2002. The equity premium. The Journal of Finance 57 (2):637-659.
Fernandez, Pablo. 2004. Market Risk Premium: Required, Historical and Expected (October 6, 2004). Available at SSRN: http://ssrn.com/abstract=601761
Fernandez, Pablo, The Equity Premium in 100 Textbooks (February 2, 2009). Available at SSRN: http://ssrn.com/abstract=1148373
Fernandez, Pablo, Market Risk Premium Used in 2008 by Professors: A Survey with 1,400 Answers (April 16, 2009). Available at SSRN: http://ssrn.com/abstract=1344209
Fisher, L, and JH Lorie. 1964. Rates of return on investments in common stocks. Journal of Business 37 (1).
Fisher, L, and JH Lorie. 1968. Rates of return on investments in common stock: the year-by-year record, 1926-65. Journal of Business 41 (3):291.
Jagannathan, R, ER McGrattan, and A Scherbina. 2000. The declining us equity premium. Federal Reserve Bank Of Minneapolis Quarterly Review 24 (4):3-19
Jones, Charles, 2002, A Century of Stock Market Liquidity and Trading Costs, Working Paper Columbia University.
Mehra, R, and EC Prescott. 1985. The equity premium: a puzzle. Journal of Monetary Economics 15 (2):145-161.
Odean, Terrance. 1999. Do Investors Trade Too Much?", American Economic Review, Vol. 89, December 1999, 1279-1298
Rietz, TA. 1988. The equity risk premium: a solution. Journal of Monetary Economics 22 (1):117–131.
Shumway, T. 1997. The delisting bias in crsp data. Journal Of Finance 52:327-340.
Siegel, Jeremy J, 2002. Stocks for the Long Run, 3rd ed. (New York: McGraw Hill).
Weitzman, ML. 2005. A Unified Bayesian Theory of Equity ‘Puzzles’, Cambridge: Harvard.
Welch, Ivo, Research Roundtable Discussion: The Market Risk Premium (June 30, 2000). Available at SSRN: http://ssrn.com/abstract=234713
Welch, Ivo, 2001, The Equity Premium Consensus Forecast Revisited, Cowles Foundation Discussion Paper #1325, Yale University.
Welch, Ivo. 2008. The Consensus Estimate for the Equity Premium by Academic Financial Economists in December 2007: SSRN.
Alchian, A. 1953. The meaning of utility measurement. American Economic Review 43:26-50.
Ariely, D. 2008. Predictably Irrational: The Hidden Forces that Shape Our Decisions: HarperCollins.
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