Finanças Empíricas

Second Class

Assignment

Data

Markov Switching Programs

Reading Lists

Slides

Papers CAPM

  • Campbell, J., C. Polk, and T. Vuolteenaho (2009), "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Review of Financial Studies, forthcoming.
  • Campbell, J. and T. Vuolteenaho (2004), "Bad Beta, Good Beta," American Economic Review, 94, 5, 1249-1275.
  • Chen, L. and X. Zhao (2009), "Return Decomposition," Review of Financial Studies,forthcoming.
  • Chen, L., R. Petkova, and L. Zhang (2007), "The Expected Value Premium," Journal of Financial Economics, forthcoming.
  • Cohen, R., C. Polk, and T. Vuolteenaho (2009), "The Price is (Almost) Right," Journal of Finance, forthcoming.
  • Fama, E. and K. French (1992), "The Cross-Section of Expected Stock Returns," Journal of Finance, 47, 2, 427-465.
  • Garcia, R. and A. Lioui, (2009) "A Long-Horizon Perspective on the Cross-Section of Expected Returns".
  • Jagannathan, R. and Z. Wang (1996), "The conditional CAPM and the cross section of stock returns," Journal of Finance 51, 3-53.
  • Lettau, M. and S. Ludvigson (2001), "Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying," Journal of Political Economy, 109, 1238-1287.
  • Polk C., S. Thompson, and T. Vuolteenaho (2006), "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, 81, 101-141.
  • Petkova, R. and L. Zhang (2005), "Is value riskier than growth?," Journal of Financial Economics, 78, 187202.

Papers MultiFactor Models

  • Ang, A., R. Hodrick, Y. Xing and Z. Zhang,(2007) "The Cross-Section of Volatility and Expected Returns", Journal of Finance
  • Ang, A., R. Hodrick, Y. Xing and Z. Zhang,(2009), "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence", Journal of Financial Economics
  • Fama, E. and K. French (1993), "Commom risk factors in the returns on stock and bonds" Journal of Financial Economics
  • Fama, E. and K. French (1996),"Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance,51, 1.
  • Jagannathan R., G. Skoulakis, and Z. Wang (2003), "The Analysis of the Cross Section of Security Returns," forthcoming in Handbook of Financial Econometrics, edited by Y. Ait Sahalia and L. P. Hansen, Elsevier-North Holland, Amsterdam.
  • Lewellen, J., S. Nagel and J. Shanken (2008), "A Skeptical Appraisal of Asset-Pricing Models," Journal of Financial Economics, forthcoming
  • Nagel, S. and K. Singleton (2009), "Estimation and Evaluation of Conditional Asset pricing Models," Working Paper, Stanford University
  • Bai, J. and S. Ng (2002), "Determining the number of factors in approximate factors model", Econometrica, 70, 1, 191-221
  • Pastor, L. and R. Stambaugh (2003), "Liquidity risk and expected stock returns,"Journal of Political Economy, 111, 642-685.
  • Petkova R. (2006), "Do the Fama-French factors proxy for innovations in predictive variables?," Journal of Finance, 61, 581-612.

Papers on Predictability

  • Ang, A. and G. Bekaert(2007), "Stock Return Predictability: Is it There?," The Review of Financial Studies 20, 3, 651-707.
  • Boudoukh,J., M. Richardson, and R.F. Whitelaw (2008) ,"The Myth of Long-Horizon Predictability," The Review of Financial Studies 21, 4, 1577-1605.
  • Brock W., J. Lakonishok and B. LeBaron (1992), "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," The Journal of Finance, 47, 5, 1731-1764.

  • Campbell, J. and S. Thompson (2008), "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, 21, 4, 1509-1531.
  • Cochrane, J. (2008), "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, 21, 4, 1533-1575.
  • Goyal, A. and I. Welch (2003), "Predicting the Equity Premium with Dividend Ratios," Management Science, 49, 5, 639654.
  • Welch, I. and A. Goyal (2008), "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, 21, 4, 1455-1508.
  • Lettau, M. and S. Ludvigson (2003), "Measuring and Modeling Variation in the Risk-Return," Handbook of Financial Econometrics, edited by Y. Ayt Sahalia and L. P. Hansen, Elsevier-North Holland, Amsterdam.
  • Lettau M. and S. Van Nieuwerburgh (2008), "Reconciling the Return Predictability Evidence," The Review of Financial Studies, 21, 4, 1607-1652.
  • Lewellen, J. (2004), "Predicting returns with nancial ratios," Journal of Financial Economics, 74, 209235.
  • Pastor, L. and R. Stambaugh (2009), "Predictive Systems: Living with Imperfect Predictors," The Journal of Finance, forthcoming.
  • Spiegel, M. (2008), "Forecasting the Equity Premium: Where we Stand today," The Review of Financial Studies, 21, 4, 1453-1454.
  • Stambaugh, R. (1999), "Predictive Regressions," Journal of Financial Economics, 54, 375-421.
  • Sullivan, R., A. Timmermann and H. White (1999), "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," The Journal of Finance, 54, 5, 1647-1691.
  • Valkanov, R. (2003), "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, 68, 201-232.
  • White, H. (2000), "A Reality Check for Data Snooping," Econometrica, 68, 5, 1097-1126.

Papers on CCAPM

  • Bansal, R. and A. Yaron (2004), "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles", Journal of Finance 59, 1481-1509.
  • Bonomo, M., R. Garcia, N. Meddahi and R. Tedongap (2009), "Disappointment Aversion, Long-Run Risks and Aggregate Asset Prices," Working Paper, EDHEC Business School.
  • Cecchetti, S. G., P. Lam and N. C. Mark (1990), "Mean Reversion in Equilibrium Asset Prices", American Economic Review 80, 3, 398-418.
  • Hansen, L. P. and K. J. Singleton (1982), "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models", Econometrica 50, 1269-1286.
  • Gallant, A. and G. Tauchen (1989), \Seminonparametric Estimation of Conditionally Heterogeneous Processes: Asset Pricing Applications", Econometrica 57, 1091-1120.
  • Lucas R. E. (1978), "Asset Prices in an Exchange Economy" Econometrica 46, 1429-1446.
  • Epstein, L. and S. Zin (1989), "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework", Econometrica 57, 937-969.
  • Campbell, J. and J. Cochrane (1999), "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", Journal of Political Economy 107, 205-251.
  • Hansen, L. P. and K. J. Singleton (1983), "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns", Journal of Political Economy 91, 249-265.
  • Bonomo, M. and R. Garcia (1994), "Can a Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion", Journal of Applied Econometrics 9, 19-29.
  • Bonomo, M. and R. Garcia (1996), "Consumption and Equilibrium Asset Pricing: An Empirical Assessment", Journal of Empirical Finance 3, 239-265.
  • Mehra, R. and E. C. Prescott (1985), "The Equity Premium: A Puzzle", Journal of Monetary Economics 15, 145-61.
  • Epstein, L. and S. Zin (1991), \Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns I: An Empirical Analysis", Journal of Political Economy 99, 263-286.
  • Hansen, L. P., J. C. Heaton and N. Li (2008), "Consumption Strikes Back?: Measuring Long Run Risk", Journal of Political Economy 116, 260-302.
  • Campbell, John Y., and Robert J. Shiller (1988), "The dividend-price ratio and expectations of future dividends and discount factors", Review of Financial Studies, 1, 195-227.
  • Routledge, B. and S. Zin (2003), \Generalized Disappointment Aversion," mimeo, Carnegie Mellon University. 2.
  • Melino, A., and A. X. Yang, 2003, \State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, 6(2), 806-830.


CategoryTurmas

MD/FinancasEmpiricas/2009 (last edited 2009-12-31 12:03:26 by 120)