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Assessing Specification Errors in Stochastic Discount Factor Models.. (1997). Jagannathan, Ravi ; Hansen, Lars.
In: Journal of Finance.
RePEc:bla:jfinan:v:52:y:1997:i:2:p:557-90.

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  94. Ultimate consumption risk and investment-based stock returns. (2017). Kang, Hankil ; Lee, Changjun.
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  95. Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy.
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  96. Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing.
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  97. .

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  98. Forward-premium puzzle: is it time to abandon the usual regression?. (2016). da Costa, Carlos E ; Matos, Paulo ; de Jesus, Jaime.
    In: Applied Economics.
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  99. Specification errors of asset-pricing models for a market characterized by few large capitalization firms. (2016). Butt, Hilal ; Virk, Nader.
    In: Journal of Economics and Finance.
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  100. Macro uncertainty and currency premia. (2016). Della Corte, Pasquale ; Krecetovs, Aleksejs .
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  101. Overconfident Investors, Predictable Returns, and Excessive Trading. (2016). Hirshleifer, David ; Daniel, Kent.
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  102. Alternative Resolution to the Mehra?Prescott Puzzle: Verification by the Original Data. (2016). Tamura, Hideaki ; Matsuabayashi, Yoichi .
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  103. Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns. (2016). Nielsen, Caren Yinxia ; Nielsen, Caren Yinxia Guo, .
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  104. Macroeconomic factors and the cross-section of commodity futures returns. (2016). Huang, Lin ; Yuan, Ping ; Shang, Hua.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:45:y:2016:i:c:p:316-332.

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  105. Illiquidity premium and expected stock returns in the UK: A new approach. (2016). Sherif, Mohamed ; Chen, Jiaqi.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:458:y:2016:i:c:p:52-66.

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  106. Volatility risk premia and exchange rate predictability. (2016). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:1:p:21-40.

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  107. The cross-sectional variation of volatility risk premia. (2016). Rubio, Gonzalo ; Gonzalez-Urteaga, Ana .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:2:p:353-370.

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  108. The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns. (2016). Kim, Dongcheol ; Na, Haejung.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:39:y:2016:i:pa:p:37-53.

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  109. On the properties of the constrained Hansen–Jagannathan distance. (2016). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:121-150.

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  110. Standard Stochastic Dominance. (2016). Post, Thierry.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:248:y:2016:i:3:p:1009-1020.

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  111. Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators. (2016). Lee, Seojeong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:86-104.

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  112. Currency Premia and Global Imbalances. (2016). Sarno, Lucio ; Della Corte, Pasquale ; Riddiough, Steven .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11129.

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  113. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
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  114. Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:354.

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  115. Collateral-Based Asset Pricing. (2015). Steri, Roberto .
    In: 2015 Meeting Papers.
    RePEc:red:sed015:293.

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  116. Currency Premia and Global Imbalances. (2015). Sarno, Lucio ; Riddiough, Steven ; Della Corte, Pasquale.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:1215.

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  117. Which Alpha?. (2015). Shanken, Jay ; Barillas, Francisco.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21698.

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  118. Testing index-based models in U.K. stock returns. (2015). Marshall, Andrew ; Fletcher, Jonathan ; Davies, J.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:45:y:2015:i:2:p:337-362.

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  119. The Asset-Pricing Implications of Government Economic Policy Uncertainty. (2015). Brogaard, Jonathan ; Detzel, Andrew.
    In: Management Science.
    RePEc:inm:ormnsc:v:61:y:2015:i:1:p:3-18.

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  120. Commodity Currencies Revisited. (2015). Passari, Evgenia.
    In: Post-Print.
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  121. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models. (2015). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2015-09.

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  122. Comparing consumption-based asset pricing models: The case of an Asian city. (2015). Leung, Charles ; Kwan, Yum K. ; Dong, Jinyue ; Leung, Charles Ka Yui, .
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:28:y:2015:i:c:p:18-41.

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  123. Generalized risk premia. (2015). Schneider, Paul.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:116:y:2015:i:3:p:487-504.

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  124. On comparing zero-alpha tests across multifactor asset pricing models. (2015). Dhaene, Geert ; De Moor, Lieven ; Sercu, Piet.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s235-s240.

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  125. Value premium and implied equity duration in the Japanese stock market. (2015). Fukuta, Yuichi ; Yamane, Akiko .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:39:y:2015:i:c:p:102-121.

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  126. Common risk factors of infrastructure investments. (2015). Ben Ammar, Semir ; Eling, Martin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:49:y:2015:i:c:p:257-273.

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  127. Market proxies as factors in linear asset pricing models: Still living with the roll critique. (2015). Prono, Todd.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:36-53.

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  128. Testing of a market fraction model and power-law behaviour in the DAX 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:1-17.

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  129. Unexplained factors and their effects on second pass R-squared’s. (2015). Kleibergen, Frank ; Zhan, Zhaoguo .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:1:p:101-116.

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  130. Commodity Currencies Revisited. (2015). Passari, Evgenia.
    In: Economics Papers from University Paris Dauphine.
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  131. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing. (2015). Ma, Sai ; Ludvigson, Sydney ; Lettau, Martin.
    In: CEPR Discussion Papers.
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  132. Econometricians Have Their Moments: GMM at 32. (2015). Hall, Alastair R..
    In: The Economic Record.
    RePEc:bla:ecorec:v:91:y:2015:i:s1:p:1-24.

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  133. Econometricians Have Their Moments: GMM at 32. (2015). Dungey, Mardi ; Hall, Alastair R ; Tian, Jing ; Alexeev, Vitali.
    In: The Economic Record.
    RePEc:bla:ecorec:v:91:y:2015:i::p:1-24.

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  134. Overconfident Investors, Predictable Returns, and Excessive Trading. (2015). Hirshleifer, David ; Daniel, Kent.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:29:y:2015:i:4:p:61-88.

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  135. The spirit of capitalism among the income classes. (2014). Voyer, John ; Smoluk, H J.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:23:y:2014:i:1:p:1-9.

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  136. A new method for forming asset pricing factors from firm characteristics. (2014). Suh, Sangwon ; Song, Wonho ; Lee, Bong-Soo.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:28:p:3463-3482.

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  137. Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators. (2014). Lee, Seojeong.
    In: Discussion Papers.
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  138. Comparing Consumption-based Asset Pricing Models: The Case of an Asian City. (2014). Leung, Charles ; Dong, Jinyue ; Kwan, Yum K. ; Leung, Charles Ka Yui, .
    In: MPRA Paper.
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  139. The conditional pricing of currency and inflation risks in Africas equity markets. (2014). Ojah, Kalu ; Kodongo, Odongo.
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  140. Capital Share Risk in U.S. Asset Pricing. (2014). Ma, Sai ; Ludvigson, Sydney ; Lettau, Martin.
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  141. Why not use SDF rather than beta models in performance measurement?. (2014). Gusset, Jonas ; Zimmermann, Heinz.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:28:y:2014:i:4:p:307-336.

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  142. The spirit of capitalism among the income classes. (2014). Smoluk, H. J. ; Voyer, John .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:1:p:1-9.

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  143. Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation. (2014). Fletcher, Jonathan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:30-46.

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  144. An intertemporal capital asset pricing model with bank credit growth as a state variable. (2014). Hammami, Yacine ; Lindahl, Anna .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:39:y:2014:i:c:p:14-28.

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  145. Unexplained factors and their effects on second pass R-squared’s. (2014). Kleibergen, Frank ; Zhan, Zhaoguo .
    In: UvA-Econometrics Working Papers.
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  146. GDP mimicking portfolios and the cross-section of stock returns. (2013). Theissen, Erik ; Sebastian, Steffen ; Schindler, Felix ; Kroencke, Tim.
    In: ZEW Discussion Papers.
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  147. Bayesian estimation of a DSGE model with asset prices. (2013). Uhlig, Harald ; Kliem, Martin.
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  148. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
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  149. Evidence for state and time nonseparable preferences: the case of Finland. (2013). Virk, Nader Shahzad .
    In: Applied Financial Economics.
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  150. Understanding Asset Prices. (2013). Committee, Nobel Prize.
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  151. Stochastic Compounding and Uncertain Valuation. (2013). Scheinkman, Jose ; Hansen, Lars.
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  152. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
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  153. The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds. (2013). Tiu, Cristian ; Brown, Keith .
    In: NBER Working Papers.
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  154. Carry. (2013). Pedersen, Lasse ; Vrugt, Evert B. ; Moskowitz, Tobias J. ; Ralph S. J. Koijen, .
    In: NBER Working Papers.
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  155. The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds. (2013). Tiu, Cristian Ioan ; Brown, Keith C..
    In: NBER Chapters.
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  156. Is Default Risk Priced in Equity Returns?. (2013). Nielsen, Caren Yinxia ; Yinxia G. Nielsen , Caren, .
    In: Knut Wicksell Working Paper Series.
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  157. A note on the forward and the equity-premium puzzles: two symptoms of the same illness?. (2013). Issler, João ; da Costa, Carlos Eugênio ; Matos, Paulo F..
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  158. Inference in asset pricing models with a low-variance factor. (2013). Shang, Hua (Helen).
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:1046-1060.

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  159. Pricing innovations in consumption growth: A re-evaluation of the recursive utility model. (2013). Gharghori, Philip ; faff, robert ; Min, Byoung-Kyu ; Xiao, Yuchao .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4465-4475.

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  160. Advances in Consumption-Based Asset Pricing: Empirical Tests. (2013). Ludvigson, Sydney C.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-799-906.

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  161. Semi-parametric estimation of American option prices. (2013). Gagliardini, Patrick ; Ronchetti, Diego .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:57-82.

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  162. Chi-squared tests for evaluation and comparison of asset pricing models. (2013). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:108-125.

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  163. Carry. (2013). Pedersen, Lasse ; Vrugt, Evert B. ; Moskowitz, Tobias J ; Koijen, Ralph.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9771.

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  164. Evaluating Asset Pricing Models in a Simulated Multifactor Approach. (2012). Carrasco Gutierrez, Carlos Enrique ; Piazza, Wagner ; Carrasco-Gutierrez, Carlos Enrique .
    In: MPRA Paper.
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  165. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: NBER Working Papers.
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  166. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

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  167. Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, . (2012). Auer, Benjamin R..
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:232:y:2012:i:5:p:518-544.

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  168. Pricing Kernels with Stochastic Skewness and Volatility Risk. (2012). Chabi-Yo, Fousseni.
    In: Management Science.
    RePEc:inm:ormnsc:v:58:y:2012:i:3:p:624-640.

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  169. Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity. (2012). Gospodinov, Nikolay.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2012-18.

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  170. Evaluating asset pricing models in the Korean stock market. (2012). Kim, Dongcheol ; Shin, Hyun-Soo .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:2:p:198-227.

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  171. Multifactor models and their consistency with the ICAPM. (2012). Santa-Clara, Pedro ; Maio, Paulo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:586-613.

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  172. Bounds on the autocorrelation of admissible stochastic discount factors. (2012). Chrtien, Stphane .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1943-1962.

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  173. Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims. (2012). zhang, xiaoyan ; Wang, Zhenyu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:1:p:65-78.

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  174. Optimal comparison of misspecified moment restriction models under a chosen measure of fit. (2012). Otsu, Taisuke ; Marmer, Vadim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:2:p:538-550.

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  175. Assessing misspecified asset pricing models with empirical likelihood estimators. (2012). Garcia, René ; Almeida, Caio.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:2:p:519-537.

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  176. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: CEPR Discussion Papers.
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  177. Evaluating Asset Pricing Models in a Simulated Multifactor Approach. (2012). Gaglianone, Wagner ; Carrasco Gutierrez, Carlos Enrique ; Carrasco-Gutierrez, Carlos Enrique .
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:10:y:2012:i:4:p:425-460.

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  178. Variance Swaps and Intertemporal Asset Pricing. (2011). Novales, Alfonso ; Cinca, Alfonso Novales ; Rubio, Gonzalo ; Nieto, Belen.
    In: Documentos de Trabajo del ICAE.
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  179. Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (2011). Otsu, Taisuke ; Marmer, Vadim.
    In: Microeconomics.ca working papers.
    RePEc:ubc:pmicro:vadim_marmer-2008-13.

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  180. Can consumption-based asset pricing models explain the cross-section of investment funds returns?. (2011). Auer, Benjamin .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:17:p:1273-1279.

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  181. The option CAPM and the performance of hedge funds. (2011). Garcia, René ; Diez de los Rios, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:137-167.

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  182. The Incompleteness Problem of the APT Model. (2011). .
    In: Computational Economics.
    RePEc:kap:compec:v:38:y:2011:i:2:p:129-151.

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  183. The cost of banking panics in an age before “Too Big to Fail”. (2011). Chabot, Benjamin.
    In: Working Paper Series.
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  184. Why mutual funds underperform. (2011). Glode, Vincent.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:546-559.

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  185. Performance maximization of actively managed funds. (2011). Huberman, Gur ; Guasoni, Paolo ; Wang, Zhenyu.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:3:p:574-595.

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  186. A conditional asset-pricing model with the optimal orthogonal portfolio. (2011). Asgharian, Hossein.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1027-1040.

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  187. Future labor income growth and the cross-section of equity returns. (2011). Kim, Dongcheol ; Min, Byoung-Kyu .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:67-81.

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  188. Macroeconomic risk and the cross-section of stock returns. (2011). Min, Byoung-Kyu ; Kim, Tong Suk ; Kang, Jangkoo ; Lee, Changjun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3158-3173.

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  189. Nonparametric estimation and testing of stochastic discount factor. (2011). Yuan, Yufei ; Ren, Yu ; Fang, Ying.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:4:p:196-205.

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  190. Evaluating alternative methods for testing asset pricing models with historical data. (2011). Lozano, Martin ; Rubio, Gonzalo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:1:p:136-146.

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  191. Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (2011). Otsu, Taisuke ; Marmer, Vadim.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1724.

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  192. Testing Factor Pricing Models in Tunisia: Macroeconomic Factors vs. Fundamental Factors. (2011). Hammami, Yacine ; Jilani, Faouzi.
    In: Review of Middle East Economics and Finance.
    RePEc:bpj:rmeecf:v:7:y:2011:i:2:n:5.

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  193. Should Benchmark Indices Have Alpha? Revisiting Performance. (2010). Zitzewitz, Eric ; Petajisto, Antti ; Cremers, Martijn.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2452.

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  194. Cost minimization and the stochastic discount factor. (2010). Quiggin, John ; Chambers, Robert.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:176:y:2010:i:1:p:349-368:10.1007/s10479-008-0469-0.

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  195. Macroeconomic Risks and Characteristic-Based Factor Models. (2010). Bartram, Söhnke ; Aretz, Kevin ; Pope, Peter F..
    In: MPRA Paper.
    RePEc:pra:mprapa:47344.

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  196. Pemilihan Model Asset Pricing. (2010). Pasaribu, Rowland Bismark Fernando, .
    In: MPRA Paper.
    RePEc:pra:mprapa:36978.

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  197. Asset Pricing - A Brief Review. (2010). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:22379.

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  198. Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns. (2010). Burnside, Craig.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16634.

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  199. The Cross-Section and Time-Series of Stock and Bond Returns. (2010). Van Nieuwerburgh, Stijn ; Lustig, Hanno ; koijen, ralph ; Ralph S. J. Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15688.

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  200. A Note on the Pricing of Liquidity in Stock Returns. (2010). Mirza, Nawazish.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:15:y:2010:i:2:p:135-147.

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  201. The cross-section of equity returns and assets’ fundamental cash-flow risk. (2010). Galsband, Victoria .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:24:y:2010:i:4:p:327-351.

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  202. On the Hansen-Jagannathan distance with a no-arbitrage constraint. (2010). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2010-04.

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  203. Habit formation, surplus consumption and return predictability: International evidence. (2010). Møller, Stig ; Hyde, Stuart ; Engsted, Tom ; Moller, Stig V..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:7:p:1237-1255.

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  204. Testing conditional asset pricing models: An emerging market perspective. (2010). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert ; Galagedera, Don U. A., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:897-918.

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  205. Evaluating asset pricing models using the second Hansen-Jagannathan distance. (2010). zhang, xiaoyan ; LI, HAITAO ; Xu, Yuewu .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:97:y:2010:i:2:p:279-301.

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  206. A skeptical appraisal of asset pricing tests. (2010). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:175-194.

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  207. The coskewness puzzle. (2010). Potì, Valerio ; Wang, DengLi ; Poti, Valerio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:8:p:1827-1838.

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  208. Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. (2010). Guo, Hui ; Savickas, Robert .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1637-1649.

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  209. Asset pricing models and economic risk premia: A decomposition. (2010). Balduzzi, Pierluigi ; Robotti, Cesare.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:54-80.

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  210. Pricing emerging market stock returns: An update. (2010). Marshall, Andrew ; Barclay, Richard ; Fletcher, Jonathan.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:11:y:2010:i:1:p:49-61.

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  211. Performance Maximization of Actively Managed Funds. (2010). Huberman, Gur ; Wang, Zhenyu ; Guasoni, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7676.

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  212. The Best Asset Pricing Model for Estimating Industry Costs of Equity in Tunisia. (2010). Ben Naceur, Sami ; Chaibi, Hasna ; Bennaceur, Sami .
    In: Review of Middle East Economics and Finance.
    RePEc:bpj:rmeecf:v:5:y:2010:i:3:n:4.

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  213. Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns. (2009). Schrimpf, Andreas ; Grammig, Joachim.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0705.

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  214. Asset pricing with a reference level of consumption: New evidence from the cross?section of stock returns. (2009). Schrimpf, Andreas ; Grammig, Joachim.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:18:y:2009:i:3:p:113-123.

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  215. Asset Pricing Implications of Pareto Optimality with Private Information. (2009). Pistaferri, Luigi ; Kocherlakota, Narayana.
    In: Journal of Political Economy.
    RePEc:ucp:jpolec:v:117:y:2009:i:3:p:555-590.

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  216. Evaluating alternative methods for testing asset pricing models with historical data. (2009). Lozano, Martin ; Rubio, Gonzalo.
    In: MPRA Paper.
    RePEc:pra:mprapa:23613.

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  217. Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique. (2009). Prono, Todd ; Todd, Prono .
    In: MPRA Paper.
    RePEc:pra:mprapa:20031.

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  218. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

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  219. Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology. (2009). Shanken, Jay ; Robotti, Cesare ; Kan, Raymond.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15047.

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  220. A general framework for the derivation of asset price bounds: an application to stochastic volatility option models. (2009). Bondarenko, Oleg ; Longarela, Iaki .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107.

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  221. Land of addicts? an empirical investigation of habit-based asset pricing models. (2009). Ludvigson, Sydney ; Chen, Xiaohong.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:7:p:1057-1093.

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  222. Pricing model performance and the two-pass cross-sectional regression methodology. (2009). Shanken, Jay ; Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2009-11.

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  223. Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results. (2009). Klinkowska, Olga .
    In: Ekonomia journal.
    RePEc:eko:ekoeko:24_112.

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  224. Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns. (2009). Schrimpf, Andreas ; Grammig, Joachim.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:3:p:113-123.

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  225. Measuring the economic significance of mean-variance spanning. (2009). Glabadanidis, Paskalis.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:2:p:596-616.

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  226. The impact of risk and uncertainty on expected returns. (2009). Anderson, Evan ; Ghysels, Eric ; Juergens, Jennifer L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:2:p:233-263.

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  227. Evaluation of linear asset pricing models by implied portfolio performance. (2009). Huang, Dayong ; Balvers, Ronald.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:9:p:1586-1596.

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  228. Daily short interest, idiosyncratic risk, and stock returns. (2009). Doukas, John ; Au, Andrea S. ; Onayev, Zhan.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:2:p:290-316.

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  229. Testing the CAPM revisited. (2009). Tiwari, Ashish ; Ray, Surajit ; Savin, N. E..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:721-733.

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  230. Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM. (2009). Adrian, Tobias ; Franzoni, Francesco.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:537-556.

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  231. Improvement in finite sample properties of the Hansen-Jagannathan distance test. (2009). Shimotsu, Katsumi ; Ren, Yu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:483-506.

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  232. Tests of risk premia in linear factor models. (2009). Kleibergen, Frank.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:149:y:2009:i:2:p:149-173.

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  233. Aggregate Earnings and Asset Prices. (2009). Ball, Ray ; Sadka, Gil.
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:47:y:2009:i:5:p:1097-1133.

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  234. Can An ‘Estimation Factor’ Help Explain Cross‐Sectional Returns?. (2009). Lundtofte, Frederik.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009:i:5-6:p:705-724.

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  235. Can An Estimation Factor Help Explain Cross-Sectional Returns?. (2009). Lundtofte, Frederik.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009-06:i:5-6:p:705-724.

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  236. Common Risk Factors Versus a Mispricing Factor of Tokyo Stock Exchange Firms: Inquiries into the Fundamental Value Derived from Analyst Earnings Forecasts-super-. (2009). Takehara, Hitoshi ; Kubota, Keiichi ; Suda, Kazuyuki.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:9:y:2009:i:3:p:269-294.

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  237. Portfolio Performance Measurement: a No Arbitrage Bounds Approach. (2009). Cao, Huining ; Ahn, Dong-Hyun ; Chretien, Stephane .
    In: European Financial Management.
    RePEc:bla:eufman:v:15:y:2009:i:2:p:298-339.

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  238. Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom.
    In: CREATES Research Papers.
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  239. Sequential Arbitrage Measurements and Interest Rate Envelopes. (2008). Lopez, S ; Balbas, A.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:138:y:2008:i:3:d:10.1007_s10957-008-9391-5.

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  240. The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia. (2008). Ludvigson, Sydney.
    In: EconomicDynamics Newsletter.
    RePEc:red:ecodyn:v:9:y:2008:i:2:agenda.

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  241. Testing Conditional Asset Pricing Models: An Emerging Market Perspective. (2008). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-3.

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  242. The Distribution of the Sample Minimum-Variance Frontier. (2008). Smith, Daniel ; Kan, Raymond.
    In: Management Science.
    RePEc:inm:ormnsc:v:54:y:2008:i:7:p:1364-1380.

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  243. Pricing the term structure with linear regressions. (2008). Moench, Emanuel ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:340.

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  244. Asset pricing tests with long run risks in consumption growth. (2008). Constantinides, George ; Ghosh, Anisha.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24428.

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  245. Narrowing the no-arbitrage bounds. (2008). Quiggin, John ; Chambers, Robert.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:1:p:1-14.

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  246. Evaluating a non-linear asset pricing model on international data. (2008). Asgharian, Hossein ; Karlsson, Sonnie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:3:p:604-621.

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  247. Specification tests of asset pricing models using excess returns. (2008). Robotti, Cesare ; Kan, Raymond.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:5:p:816-838.

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  248. It takes a model to beat a model: Volatility bounds. (2008). Liu, Ludan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:80-110.

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  249. Household Heterogeneity and Asset Trade: Resolving the Equity Premium Puzzle in Three Countries. (2008). Pistaferri, Luigi ; Kocherlakota, Narayana.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000001886.

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  250. An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns. (2008). Møller, Stig ; Engsted, Tom ; Moller, Stig V..
    In: CREATES Research Papers.
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  251. Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns. (2007). Schrimpf, Andreas ; Grammig, Joachim.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7189.

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  252. Takeovers and the Cross-Section of Returns. (2007). Nair, Vinay ; John, Kose ; Cremers, Martijn.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2393.

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  253. Asset pricing models: a comparison. (2007). Prakash, Arun ; Lawrence, Edward R..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:11:p:933-940.

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  254. Consumption Volatility and the Cross-Section of Stock Returns. (2007). Tedongap, Romeo.
    In: 2007 Meeting Papers.
    RePEc:red:sed007:662.

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  255. Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test. (2007). Shimotsu, Katsumi ; Ren, Yu.
    In: Working Papers.
    RePEc:qed:wpaper:1126.

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  256. Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors. (2007). Burnside, Craig.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13357.

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  257. ICAPM with time-varying risk aversion. (2007). Maio, Paulo.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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  258. The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market. (2007). Wang, Yuenan ; di Iorio, Amalia .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:29:y:2007:i:2:p:181-203.

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  259. Limits to international arbitrage: an empirical evaluation. (2007). Dewachter, Hans ; Smedts, Kristien .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:3:p:273-285.

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  260. A generalized volatility bound for dynamic economies. (2007). Whiteman, Charles ; Ravikumar, B ; Otrok, Christopher.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:8:p:2269-2290.

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  261. Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables. (2007). Chen, Xiaohong ; Ai, Chunrong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:1:p:5-43.

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  262. Econometric specification of stochastic discount factor models. (2007). Monfort, Alain ; gourieroux, christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:136:y:2007:i:2:p:509-530.

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  263. Asset Pricing Implications of Pareto Optimality with Private Information. (2007). Pistaferri, Luigi ; Kocherlakota, Narayana.
    In: Levine's Bibliography.
    RePEc:cla:levrem:321307000000000701.

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  264. Conditional Performance Evaluation for German Mutual Equity Funds. (2007). Zimmermann, Heinz ; Drobetz, Wolfgang ; Bessler, Wolfgang.
    In: Working papers.
    RePEc:bsl:wpaper:2007/22.

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  265. Habit Formation, Surplus Consumption and Return Predictability: International Evidence. (2007). Møller, Stig ; Hyde, Stuart ; Engsted, Tom ; Moller, Stig V..
    In: CREATES Research Papers.
    RePEc:aah:create:2007-31.

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  266. .

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  267. Evaluating conditional asset pricing models for the German stock market. (2006). Schröder, Michael ; Schrimpf, Andreas ; Schroder, Michael ; Stehle, Richard .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5433.

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  268. Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework. (2006). Suryanarayanan, Raghu.
    In: CSEF Working Papers.
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  269. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
    In: NBER Working Papers.
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  270. Evaluating a nonlinear asset pricing model on international data. (2006). Asgharian, Hossein ; Karlsson, Sonnie.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_005.

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  271. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims. (2006). zhang, xiaoyan ; Wang, Zhenyu.
    In: Staff Reports.
    RePEc:fip:fednsr:265.

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  272. Specification tests of asset pricing models using excess returns. (2006). Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2006-10.

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  273. Specification tests of international asset pricing models. (2006). zhang, xiaoyan.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:2:p:275-307.

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  274. Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. (2006). Sadka, Ronnie .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:80:y:2006:i:2:p:309-349.

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  275. Time-varying risk premia and the cross section of stock returns. (2006). Guo, Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2087-2107.

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  276. Rentabilité dactifs et fluctuations économiques : une perspective déquilibre général dynamique et stochastique. (2006). Matheron, Julien ; Beaubrun-Diant, Kevin.
    In: EconomiX Working Papers.
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  277. Some Empirical Implications of State-Contingent Production Models. (2006). Chambers, Robert.
    In: 2006 Conference (50th), February 8-10, 2006, Sydney, Australia.
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  278. Efficiency and the Bear: Short Sales and Markets around the World. (2005). zhu, ning ; Goetzmann, William ; Bris, Arturo .
    In: Yale School of Management Working Papers.
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  279. Productivity-Based Asset Pricing: Theory and Evidence. (2005). Huang, Dayong ; Balvers, Ronald.
    In: Working Papers.
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  280. Consumption Risk and the Cross Section of Expected Returns. (2005). Parker, Jonathan ; Julliard, Christian.
    In: Journal of Political Economy.
    RePEc:ucp:jpolec:v:113:y:2005:i:1:p:185-222.

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  281. Euler Equation Errors. (2005). Ludvigson, Sydney ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11606.

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  282. Financial Markets and the Real Economy. (2005). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11193.

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  283. Consumption Risk and the Cost of Equity Capital. (2005). Jagannathan, Ravi ; Wang, Yong.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11026.

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  284. Resuscitating the C-CAPM: empirical evidence from France and Germany. (2005). Hyde, Stuart ; Nitzsche, Dirk ; Cuthbertson, Keith.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:4:p:337-357.

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  285. Modelos de valoración de activos condicionales: Un panorama comparativo. (2005). Nieto, Belen ; Rodriguez, Rosa.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:29:y:2005:i:1:p:33-71.

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  286. Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?. (2005). Lundtofte, Frederik.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_018.

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  287. Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures. (2005). Hjalmarsson, Erik ; Chen, Zhiwu ; Bakshi, Gurdip .
    In: Working Papers in Economics.
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  288. Mimicking portfolios, economic risk premia, and tests of multi-beta models. (2005). Robotti, Cesare ; Balduzzi, Pierluigi.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2005-04.

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  289. An examination of alternative CAPM-based models in UK stock returns. (2005). Fletcher, Jonathan ; Kihanda, Joseph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2995-3014.

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  290. Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities. (2005). Govindaraj, Suresh .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:4:p:234-247.

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  291. Equilibrium analysis of volatility clustering. (2005). Vanden, Joel M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:3:p:374-417.

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  292. Testing affine term structure models in case of transaction costs. (2005). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:126:y:2005:i:1:p:201-232.

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  293. Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM. (2005). Adrian, Tobias ; Franzoni, Francesco.
    In: HEC Research Papers Series.
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  294. Dichotomous Asset Pricing Model. (2005). Zou, Liang.
    In: Annals of Economics and Finance.
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  295. Do stock prices and interest rates possess a common trend?. (2005). Das, Amaresh .
    In: Discussion Papers (REL - Recherches Economiques de Louvain).
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  296. Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives. (2005). Gil-Bazo, Javier ; Downarowicz, Anna ; Balbas, Alejandro .
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  297. Do stock prices and interest rates possess a common trend?. (2005). Das, Amaresh .
    In: Recherches économiques de Louvain.
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  298. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle. (2005). Renault, Eric ; Garcia, René ; René Garcia, ; Chabi-Yo, Fousseni.
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  299. Cost minimization and asset pricing. (2005). Quiggin, John ; Chambers, Robert G.
    In: Risk and Sustainable Management Group Working Papers.
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  300. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
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  301. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models. (2004). Ludvigson, Sydney ; Chen, Xiaohong.
    In: 2004 Meeting Papers.
    RePEc:red:sed004:692.

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  302. Consumption Risk and the Cross-Section of Expected Returns. (2004). Parker, Jonathan ; Julliard, Christian.
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    RePEc:pri:wwseco:dp229.pdf.

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  303. Asset Pricing with Durable Goods and Nonhomothetic Preferences. (2004). Pakoš, Michal ; Pakos, Michal.
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  304. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
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  305. Forecasting economic and financial time-series with non-linear models. (2004). Swanson, Norman ; Franses, Philip Hans ; Clements, Michael.
    In: International Journal of Forecasting.
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  306. Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance. (2004). Ahn, Seung ; Gadarowski, Christopher .
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  307. Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
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  308. Do Heterogeneous Beliefs Matter for Asset Pricing?. (2004). Ghysels, Eric ; Anderson, Evan ; Juergens, Jennifer.
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  309. Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model. (2004). Ichiue, Hibiki.
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  310. Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles. (2004). Nieto, Belen ; Rodriguez, Rosa.
    In: DEE - Documentos de Trabajo. Economía de la Empresa. DB.
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  311. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
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  312. The factor structure of financial markets: a simulation study of the Italian case. (2003). Costa, Michele.
    In: Applied Economics Letters.
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  313. The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation. (2003). Swanson, Norman ; Corradi, Valentina.
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  314. Forecasting economic and financial time-series with non-linear models. (2003). Swanson, Norman ; Franses, Philip Hans ; Clements, Michael.
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  315. Consumption Risk And Expected Stock Returns. (2003). Parker, Jonathan ; Julliard, Christian.
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  316. Efficiency and the Bear: Short Sales and Markets around the World. (2003). zhu, ning ; Goetzmann, William ; Bris, Arturo .
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  317. Formulating the imputed cost of equity capital for priced services at Federal Reserve banks. (2003). Wang, Zhenyu ; Lopez, Jose ; Green, Edward.
    In: Economic Policy Review.
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  318. Regime-shifts, risk premiums in the term structure, and the business cycle. (2003). Zhou, Hao ; Tauchen, George ; Bansal, Ravi.
    In: Finance and Economics Discussion Series.
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  319. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio. (2003). Robotti, Cesare.
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  320. News related to future GDP growth as a risk factor in equity returns. (2003). Maria, Vassalou.
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  321. Empirical reverse engineering of the pricing kernel. (2003). Chernov, Mikhail.
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  322. Pricing the Global Industry Portfolios. (2002). zhang, xiaoyan ; Hodrick, Robert ; Vadim, Moroz ; Cavaglia, Stefano .
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  323. Performance Evaluation with Stochastic Discount Factors. (2002). Ferson, Wayne ; Jackson, David ; Todd, Steven ; Farnsworth, Heber.
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  324. Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation. (2002). Whiteman, Charles ; Ravikumar, B ; Otrok, Christopher.
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  325. Expropriation Risk and Return in Global Equity Markets. (2002). Bansal, Ravi ; Dahlquist, Magnus.
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  326. The CAPM versus the risk neutral pricing model. (2002). Pépin, Dominique.
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  327. An examination of the economic significance of stock return predictability in UK stock returns. (2002). Hillier, Joe ; Fletcher, Jonathan.
    In: International Review of Economics & Finance.
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  328. Measuring noise in the Permanent Income Hypothesis. (2002). Engsted, Tom.
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  329. Asymmetric correlations of equity portfolios. (2002). Ang, Andrew ; Andrew, Ang ; Joseph, Chen.
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  330. Connections between entropic and linear projections in asset pricing estimation. (2002). Stutzer, Michael ; Kitamura, Yuichi.
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  331. Pricing kernels and dynamic portfolios. (2002). Philippe, HENROTTE.
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  332. Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns. (2002). Wang, Kevin Q. ; Jacobs, Kris.
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  333. Empirical Evaluation of Asset?Pricing Models: A Comparison of the SDF and Beta Methods. (2002). .
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  334. Term Structure of Interest Rates with Regime Shifts. (2002). Bansal, Ravi.
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  335. Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns. (2002). .
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  336. Measures of Fit for Rational Expectations Models.. (2002). Engsted, Tom.
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  337. Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying. (2001). Ludvigson, Sydney ; Lettau, Martin.
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  338. An empirical investigation of the consumption based Capital Asset Pricing Model using a modified variance-ratio test. (2001). Zemik, Petr .
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    RePEc:spr:jecfin:v:25:y:2001:i:1:p:1-22.

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  339. Downside Risk and the Momentum Effect. (2001). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
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  340. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods. (2001). Wang, Zhenyu ; Jagannathan, Ravi.
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  341. The price of inflation and foreign exchange risk in international equity markets. (2001). Robotti, Cesare.
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  342. Minimum-variance kernels, economic risk premia, and tests of multi-beta models. (2001). Robotti, Cesare ; Balduzzi, Pierluigi.
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  343. Evaluating the specification errors of asset pricing models. (2001). zhang, xiaoyan ; Hodrick, Robert ; Xiaoyan, Zhang.
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  344. Testing for mean-variance spanning: a survey. (2001). Nijman, Theo ; de Roon, Frans A..
    In: Journal of Empirical Finance.
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  345. Financial innovation and arbitrage in the Spanish bond market. (2001). Balbas, Alejandro ; Lopez, Susana .
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  346. News Related to Future GDP Growth as a Risk Factor in Equity Returns. (2001). Vassalou, Maria.
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  347. Estimating Nonseparable Preference Specifications for Asset Market Participants. (2001). Jacobs, Kris.
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  348. Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation. (2000). Whiteman, Charles ; Ravikumar, B ; Otrok, Christopher.
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  351. Asset Pricing at the Millennium. (2000). Campbell, John.
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  352. Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns. (2000). LINTON, OLIVER ; Connor, Gregory.
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  353. Approximating payoffs and pricing formulas. (2000). darolles, serge ; Laurent, Jean-Paul.
    In: Journal of Economic Dynamics and Control.
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  354. Testing Affine Term Structure Models in Case of Transaction Costs. (2000). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
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  355. Envelopes for the term structure of interest rates. (2000). Balbas, Alejandro ; Lopez, Susana .
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  356. Explaining the Poor Performance of Consumption-Based Asset Pricing Models. (1999). Cochrane, John ; Campbell, John.
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  358. Security factors as linear combinations of economic variables. (1999). Zhou, Guofu.
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  359. A Critique of the Stochastic Discount Factor Methodology. (1999). Zhou, Guofu ; Kan, Raymond.
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  360. How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models. (1999). Lucia, Julio J ; Balbas, Alejandro ; Longarela, Iaki R.
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