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Equilibrium stock return dynamics under alternative rules of learning about hidden states

Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954

Persistent link: https://www.econbiz.de/10002099538

Time-varying risk premia and the cost of capital : an alternative implication of the Q theory of investment

Lettau, Martin; Ludvigson, Sydney C. - In: Journal of monetary economics 49 (2002) 1, pp. 31-66

Persistent link: https://www.econbiz.de/10001641074

The declining equity premium : what role does macroeconomic risk play?

Lettau, Martin; Ludvigson, Sydney C.; Wachter, Jessica - 2004

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Expected returns, yield spreads, and asset pricing tests

Campbello, Murillo; Chen, Long; Zhang, Lu - 2005

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Regime shifts, risk premiums in the term structure, and the business cycle

Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 396-409

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A factor analysis of bond risk premia

Ludvigson, Sydney C.; Ng, Serena - 2009

"This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal...