Habit formation, the cross section of stock returns and the cash-flow risk puzzle

By Tano Santos, Pietro Veronesi. 2010

176 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c4f749b97a55645aca0043ee5acef8cb75e183a7

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Citations in the corpus

Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach (2012, unknown): “…value and growth stocks possess differential sensitivities to time-varying macroeconomic risks (e.g., Vassalou 2003;Petkova and Zhang 2005;Zhang 2005; Lettau and Wachter 2007;Cohen, Polk, and Vuolteenaho 2009; Da and Warachka 2009; Campbell, Polk, and Vuolteenaho 2010;Santos and Veronesi 2010).”
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, result): “1 Using the long sample of annual data is consistent with Shiller and Perron (1985), who show that longer span of data is more important for measuring lowfrequency movements than a more frequently sampled shorter span of data (such as the post-war quarterly data).”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, unknown): “Similar evidences are provided in the context of consumption-CAPM by Lettau and Ludvigson (2001), Santos and Veronesi (2006), and Lustig and Van Nieuwerburgh (2005). value stocks.”
Cash Flow Duration and the Term Structure of Equity Returns (2018, unknown): “Santos and Veronesi (2010) extend the external habit persistence model of Campbell and Cochrane (1999) to multiple assets.”
Risk Price Dynamics (2009, unknown): “The second example specifies a state variable that forms the basis of the consumption externality model of Santos and Veronesi (2008).”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “For external habit Ht and consumption Ct, the variable St is the surplus consumption ratio and, hence, qt represents the log of the inverse surplus consumption ratio (see also Santos and Veronesi, 2010; and Borovicka, Hansen, Hendricks, and Scheinkman, 2011).”
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (2014, background): “10Similar behavior arises in the models of Pastor and Veronesi (2003, 2009), Menzly, Santos, and Veronesi (2004), and Santos and Veronesi (2010). stantially different behavior, and that it is exposure to CIV shocks in particular (as opposed to market volatility exposure) that is associated with…”
On the Timing and Pricing of Dividends (2011, unknown): “If one adheres to the view that value firms have short-duration cash flows and growth firms have long-duration cash flows, this implies that there is a growth premium, not a value premium (see also Santos and Veronesi (2006)).”