Stock Market Risk and Return: An Equilibrium Approach

By Robert F. Whitelaw. 2000

316 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bc976ec23dbf3a1d6ae18f0b6897276350e52c1f

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Citations in the corpus

Multifactor models and their consistency with the ICAPM (2012, unknown): “An incomplete list of recent papers includes Scruggs (1998), Whitelaw (2000), Brandt and Kang (2004), Ghysels, SantaClara, and Valkanov (2005), Guo and Whitelaw (2006), Lundblad (2007), Pástor, Sinha, and Swaminathan (2008), Bali, Demirtas, and Levy (2009), and Guo, Savickas, Wang, and Yang (2009).”
The empirical risk–return relation: A factor analysis approach ☆ (2006, background): “One might be more comfortable with fewer negative observations, but it should be noted that an occasional negative risk premium on stock market wealth is not necessarily inconsistent with equilibrium asset pricing models (Boudoukh, Richardson, and Whitelaw, 1997; Whitelaw, 2000).”
Stock Market Uncertainty and the Stock-Bond Return Relation (2005, background): “Boudoukh, Richardson, Smith, and Whitelaw (1999) argue that bond returns”
Asset Allocation Under Multivariate Regime Switching (2005, unknown): “Ang and Bekaert (2002a,b), Ang and Chen (2002), Garcia and Perron (1996), Gray (1996), Guidolin and Timmermann (2005a,b, 2006a,b,c), Perez-Quiros and Timmermann (2000), Turner, Startz and Nelson (1989) and Whitelaw (2001) all report evidence of regimes in stock or bond returns.”
Risk, uncertainty, and asset prices (2005, background): “However, Ferson and Merrick (1987), Whitelaw (2000) and Bekaert and Liu (2004) all demonstrate that consumption growth volatility varies through time.”
Asset pricing and ambiguity: Empirical evidence (2018, unknown): “Another strand of the literature has introduced time-varying elements such as regime switching (e.g., Campbell and Cochrane (1999), and Whitelaw (2000)), time-varying risk aversion (e.g., Campbell and Cochrane (1999)) and investor sentiment (e.g., Yu and Yuan (2011)).”
The Relationship between Stock Returns and Volatility in International Stock Markets (2005, background): “On the other hand, there is also a long tradition in finance that models stock return volatility as negatively correlated with stock returns (Black, 1976; Cox and Ross, 1976; Bekaert and Wu, 2000; Whitelaw, 2000).”
The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2008, unknown): “Section 4 concludes. and Mark (1990); Kandel and Stambaugh (1991); Cecchetti, Lam, and Mark (1993); Abel (1994); Abel (1999); Veronesi (1999) (also discussed below); Whitelaw (2000); Wachter (2003), or in technology shocks (Cagetti, Hansen, Sargent, and Williams (2002)).”
Risk Premia and the Dynamic Covariance between Stock and Bond Returns (2003, unknown): “Examples of this approach include Mayfield (1999), Chauvet and Potter (2001), and Whitelaw (2000).”
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, background): “|Ft] is the conditional expectation given information available at time t,Ft, andmt+1 is the investor’s intertemporal marginal rate of substitution between current and future consumption or−under restrictions established by Brown and Gibbons (1985)−current and future wealth.”