Labor Income And Predictable Stock Returns

By Tano Santos, Pietro Veronesi. 2001

594 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c207225a4a4209dad8344c292bb97d22128d5631

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Citations in the corpus

Risk, uncertainty, and asset prices (2005, unknown): “…and dividends coincide in the original Lucas (1978) framework and many subsequent studies, recent papers have emphasized the importance of recognizing that consumption is financed by sources of income outside of the aggregate equity dividend stream [see for example Santos and Veronesi (2006)].”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “We build upon the work of Santos and Veronesi (2006), who find that the share of labor income to consumption predicts future excess returns of the market portfolio.”
Why Has CEO Pay Increased so Much (2008, unknown): “CEOs have different talents and are matched to firms in a competitive assignment model.”
A diagnostic criterion for approximate factor structure (2016, background): “ As additional speciﬁcations, we consider the lagged default spread, term spread, monthly 30-day Tbill,aggregateconsumption-to-wealth ratio(Lettau and Ludvigson(2001)),andlabour-to-consumption ratio (Santos and Veronesi (2006)) as common instruments. The CRSP database provides the monthly stock retu”
Empirical cross-sectional asset pricing: a survey (2011, background): “Santos and Veronesi (2006) show that labor income to consumption ratio as a conditioning variable is useful for testing conditional version of CCAPM.”
Unexplained factors and their effects on second pass R-squared’s (2015, methodology): “The traditional results for the FM two pass procedure are derived under the assumption that the estimand of B̂ is a full rank matrix so B̂→ p βδ, (16) is a full rank matrix, see e.g. Fama and French (1993) and Shanken (1992).”
Sequential Learning, Predictability, and Optimal Portfolio Returns: Sequential Learning, Predictability, and Optimal Portfolio Returns (2014, unknown): “Theoretically, certain asset pricing models, such as Menzly, Santos and Veronesi (2004) or Santos and Veronesi (2006), imply that the relationship between the equity premium and xt varies over time.”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Santos and Veronesi (2006) show that the conditional CAPM with the labour income to consumption ratio as a conditioning variable is a useful descriptor of expected returns.”
Testing Factor-Model Explanations of Market Anomalies (2012, background): “Yogo (2006)∗ Durable Consumption Growth 12.”
Consumption Strikes Back? Measuring Long‐Run Risk (2008, unknown): “This{x }t allows us to include “share models” with nonlinear share evolution equations as in Santos and Veronesi (2006).”
Who Are the Value and Growth Investors (2017, unknown): “4Eiling (2013), Jagannathan, Kubota, and Takehara (1998), Addoum, Korniotis, and Kumar (2013), and Santos and Veronesi (2006) provide further evidence on the relationship between labor income and the value premium.”