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Expected returns, yield spreads, and asset pricing tests

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

Persistent link: https://www.econbiz.de/10002823463

The value spread as a predictor of returns

Liu, Naiping; Zhang, Lu - 2005

Persistent link: https://www.econbiz.de/10002823542

The stock market and aggregate employment

Chen, Long; Zhang, Lu - 2009

Persistent link: https://www.econbiz.de/10003875812

Is the value spread a useful predictor of returns?

Liu, Naiping (contributor); Zhang, Lu (contributor) - 2006

Persistent link: https://www.econbiz.de/10003746210

Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Searching for the equity premium

Bai, Hang; Zhang, Lu - 2020

Labor market frictions are crucial for the equity premium in production economies. A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per annum, a stock market volatility of 11.8%, and a low...

Persistent link: https://www.econbiz.de/10012301454