The term structures of equity and interest rates
By Martin Lettau, Jessica A. Wachter. 2011
210 citations recorded by the source corpus.
Subfields: Finance, Strategy and Management
View Paper: https://www.semanticscholar.org/paper/9785a5d2277c01807c77a71bf5f8623f9d4dd305
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Citations in the corpus
- Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “Asset pricing theory suggests that these intercepts and slopes are cross-sectionally related to risk factor loadings (see Sharpe (1964), Merton (1973), Ross (1976)).”
- A Preferred‐Habitat Model of the Term Structure of Interest Rates (2021, unknown): “6Other equilibrium models that generate a positive premia–slope relationship include Wachter (2006), Buraschi and Jiltsov (2007), and Lettau and Wachter (2011), who assume habit formation, Xiong and Yan (2010), who assume heterogeneous beliefs, and Gabaix (2012), who assumes rare disasters with…”
- Disaster Risk and its Implications for Asset Pricing (2015, unknown): “This lack of co-movement poses a puzzle for preferencebased theories of time-varying risk premia (see discussions in Duffee (2013) and Lettau and Wachter (2011)).”
- The Wealth-Consumption Ratio (2008, unknown): “Similarly, Martin (2008) derives a simple, analytical relation between the wealth-consumption ratio and the total cost of business cycles, which measures the benefits of completely eliminating aggregate consumption growth risk, in an environment with i.”
- Cash Flow Duration and the Term Structure of Equity Returns (2018, unknown): “Lettau and Wachter (2011) extend that model to also explain the term structure of interest rates.”
- Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “…the absence of arbitrage opportunities, the yield on an m-period bond, for any m > 0, is an affine function of Pt, ymt = AP(m) +BP(m) · Pt, (9) 12Two exceptions are the reduced-form equity and bond pricing models studied by Lettau and Wachter (2011) and Koijen, Lustig, and van Nieuwerburgh (2012).”
- The Cross-Section and Time-Series of Stock and Bond Returns (2017, unknown): “…risk price dynamics are affine in the state of the economy st: Λt = λ0 + λ1st For similar approaches to the SDF, see Bekaert, Engstrom, and Xing (2009), Bekaert, Engstrom, and Grenadier (2010), Lettau and Wachter (2007, 2011), Campbell, Sunderam, and Viceira (2013), and David and Veronesi (2013).”
- Dividend Dynamics and the Term Structure of Dividend Strips (2015, unknown): “It is worth noting that Lettau and Wachter (2007, 2011) exogenously specify dividend dynamics such that shocks to dividends and shocks to expected dividends are negatively correlated.”
- Nonparametric stochastic discount factor decomposition (2014, methodology): “Remark 3.1 The preceding analysis could equally be applied to study valuation with a stochastic growth component as in Hansen, Heaton, and Li (2008), Hansen and Scheinkman (2009), Hansen (2012), Lettau and Wachter (2007, 2011), and others.”