Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

By Martin Lettau, Sydney C. Ludvigson. Journal of Political Economy, 2001

1,442 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d39e3554c80256ae97dcb0c94c046403d00431c1

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Citations in the corpus

Predicting stock returns (2006, neutral): “Moreover, Lettau and Ludvigson (2001) and Avramov and Chordia (2006), among others, demonstrate that asset pricing models with time varying market premium or risk are reasonably successful relative to their unconditional counterparts.”
Returns and Information Transmission Dynamics in Public and Private Real Estate Markets (2015, result): “These findings are consistent with Li et al. (2009) and Oikarinen et al.”
The Maturity of Debt Issues and Predictable Variation in Bond Returns (2003, neutral): “Covariance with consumption is the only risk factor in Breeden (1979), and Lettau and Ludvigson (2001) argue for the empirical validity of the consumption-based paradigm.”
Testing Factor-Model Explanations of Market Anomalies (2012, methodology): “12 This straightforward rejection of the LL model raises the question of why the test reported in Lettau and Ludvigson (2001) appears to offer such strong support for their model.”
An Estimation of Economic Models with Recursive (2007, neutral): “…these variables rather than some others because, in samples that include recent data, they drive out many of the other popular forecasting variables for stock returns, such as an aggregate dividend– price ratio, earnings–price ratio, term spreads, and default spreads (Lettau and Ludvigson (2001a)).”
Takeovers and the Cross-Section of Returns (2009, neutral): “…substantiated by a large and growing body of empirical work on the predictability of expected excess returns on aggregate stock market index (e.g., Shiller, 1984; Campbell and Shiller, 1988; Fama and French, 1988, 1989; Campbell, 1991; Hodrick, 1992; Lamont, 1998; and Lettau and Ludvigson, 2001).”
Labor Income And Predictable Stock Returns (2001, methodology): “Such a distribution is reported in Table IX and we compare 13See Lettau and Ludvigson (2001c) pages 24-25 and their Figure 2.”
Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003, background): “…studies (e.g., Daniel and Titman, 1997; Fama and French, 1996; Ferson and Harvey, 1999; Harvey and Siddique, 2000; Hodrick and Zhang, 2001; Lettau and Ludvigson, 2001, among many others), and as such they form a natural test case for assessing the usefulness of the high-frequency data…”
Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data (2010, neutral): “This type of regression, where individual equity covariances with the market are regressed onto a market-wide realised variance measure, is important in ﬁnancial economics, for example within the conditional CAPM (see, e.g., Jagannathan and Wang, 1996; Lettau and Ludvigson, 2001), since only systema”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, neutral): “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.”
Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective (2005, positive): “Following Lettau and Ludvigson (2001a), we assume that the nonstationary component of human wealth H is well approximated by the nonstationary component of labor income Y.”