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A Variance Decomposition for Stock Returns
(Blackwell Publishing, 1991)
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
(University of Chicago Press, 1999)
We present a consumption‐based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long‐horizon predictability of excess stock returns, and the ...
Trading Volume and Serial Correlation in Stock Returns
(MIT Press, 1993)
This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return ...
Understanding Risk and Return
(University of Chicago Press, 1996)
This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock ...
Smart Money, Noise Trading and Stock Price Behaviour
(Blackwell Publishing, 1993)
This paper estimates an equilibrium model of stock price behaviour in which changes in exponentially de-trended dividends and prices are normally distributed and exogenous "noise traders" interact with "smart-money" investors ...
Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
(Oxford University Press, 1993)
In this article we break asset's betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive ...
Permanent Income, Current Income, and Consumption
(American Statistical Association, 1990)
This article reexamines the consistency of the permanent-income hypothesis with aggregate postwar U.S. data. The permanent-income hypothesis is nested within a more general model in which a fraction of income accrues to ...
Some Lessons from the Yield Curve
(American Economic Association, 1995)
Focuses on the relationship between short- and long-term interest rates in the United States. Review of the academic literature on the term structure; United States Treasury securities; Expectations hypothesis of the term ...
Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
(Elsevier, 1994)
This paper argues that a clear understanding of the stochastic growth model can best be achieved by working out an approximate analytical solution. The proposed solution method replaces the true budget constraints and Euler ...
Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices
(Elsevier, 1997)
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of ...