Measuring and Modelling Variation in the Risk-Return Trade-off
By Martin Lettau, Sydney C. Ludvigson. 2001
300 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/dcd04333f63583ab64662b4a8ca87816907ccec1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Sydney C. Ludvigson
- Stijn Van Nieuwerburgh
- John Y. Campbell
- Eric Ghysels
- Ralph S. J. Koijen
- Serena Ng
- Stefano Giglio
- Rossen Valkanov
In Finance
- Stijn Van Nieuwerburgh
- Sydney C. Ludvigson
- John Y. Campbell
- Ralph S. J. Koijen
- Eric Ghysels
- Stefano Giglio
- Serena Ng
- Rossen Valkanov
Citations in the corpus
- An Intertemporal CAPM with Stochastic Volatility (2018, background): “Second, the aggregate stock index we consider here may not be an adequate proxy for all wealth, a point emphasized by many papers, including Campbell (1996) , Jagannathan and Wang (1996) , Lettau and Ludvigson (2001) , and Lustig et al. (2013) .”
- Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, unknown): “…using U.S. Flow of Funds data for Securities, Brokers and Dealers. consumption-wealth ratio (cay) The consumption-wealth ratio (cay), proposed by Lettau and Ludvigson (2001), is the residual obtained from estimating a cointegrating relation between aggregate consumption, wealth, and labor…”
- The Market Price of Aggregate Risk and the Wealth Distribution (2005, unknown): “…increases across households contributes a multiplicative adjustment to the standard Lucas-Breeden SDF βλ −γ t+1 (stochastic discount factor): the growth rate of the γ −1 -th moment of the distribution of stochastic Pareto-Negishi weights, denoted g t+1 , raised to the power γ: m t+1 = βλ −γ t+1 g”
- Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2012, background): “Excess returns will be positively predicted by lagged “cay,” a measure of transitory deviations of consumption from wealth (Lettau and Ludvigson 2001).8 Third, real economic activity will have amplifi ed cycles.”
- MIDAS Regressions: Further Results and New Directions (2007, background): “Jorgenson (1966). A geometric lag model ( Koyck (1954) ,”