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The cyclical behavior of equity turnover

DeJong, David Neil; Espino, Emilio - In: Quantitative economics : QE ; journal of the … 2 (2011) 1, pp. 99-133

We measure the extent to which the cyclical behavior of the turnover of equity shares generated by individual investors on the New York Stock Exchange can be accounted for by a single source of trade embedded in a neoclassical growth economy with dynamically complete markets. The source of trade...

Persistent link: https://www.econbiz.de/10011755964

Identification failure in the intertemporal consumption CAPM

Neely, Christopher J.; Roy, Amlan; Whiteman, Charles H. - 1995

Persistent link: https://www.econbiz.de/10000930227

Habit formation : a resolution of the equity premium puzzle?

Otrok, Christopher M.; Ravikumar, B.; Whiteman, Charles H. - In: Journal of monetary economics 49 (2002) 6, pp. 1261-1288

Persistent link: https://www.econbiz.de/10001700859

Evaluating asset-pricing models using the Hansen-Jagannathan bound : a Monte-Carlo investigation

Otrok, Christopher M.; Ravikumar, B.; Whiteman, Charles H. - In: Journal of applied econometrics 17 (2002) 2, pp. 149-174

Persistent link: https://www.econbiz.de/10001667482

Risk aversion versus intertemporal substitution: a case study of identification failure in the intertemporal consumption capital asset pricing model

Neely, Christopher J.; Roy, Amlan; Whiteman, Charles H. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 395-403

Persistent link: https://www.econbiz.de/10001646350

Heterogeneous beliefs and tests of present value models

Kasa, Kenneth; Walker, Todd B.; Whiteman, Charles H. - In: The review of economic studies 81 (2014) 3, pp. 1137-1163

Persistent link: https://www.econbiz.de/10010485954

A generalized volatility bound for dynamic economies

Otrok, Christopher M.; Ravikumar, B.; Whiteman, Charles H. - In: Journal of monetary economics 54 (2007) 8, pp. 2269-2290

Persistent link: https://www.econbiz.de/10003614141

Multiple equilibria in a simple asset pricing model

Walker, Todd B.; Whiteman, Charles H. - In: Economics letters 97 (2007) 3, pp. 191-196

Persistent link: https://www.econbiz.de/10003575455