Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals

By Geert Bekaert, Eric C. Engstrom. Journal of Political Economy, 2017

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0289962989ad6a1785d01cd76c775ad1405676bc

Citations in the corpus

• The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “…with recent work in the consumption-based asset pricing literature, showing the variance premium to be very informative for identifying equilibrium models featuring complex data generating processes for the fundamentals (Bollerslev et al. 2009, Drechsler and Yaron 2011, Bekaert and Engstrom 2017).”