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Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying

Lettau, Martin; Ludvigson, Sydney C. - 1999

Persistent link: https://www.econbiz.de/10001445447

Resurrecting the (C)CAPM : a cross-sectional test when risk premia are time-varying

Lettau, Martin; Ludvigson, Sydney C. - In: Journal of political economy 109 (2001) 6, pp. 1238-1287

Persistent link: https://www.econbiz.de/10001631589

tay's as good as cay: reply

Lettau, Martin; Ludvigson, Sydney C. - In: Finance research letters 2 (2005) 1, pp. 15-22

Persistent link: https://www.econbiz.de/10002685533

Investor information, long-run risk, and the duration of risky cash-flows

Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C. - 2007

Persistent link: https://www.econbiz.de/10003427571

Investor information, long-run risk, and the term structure of equity

Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C. - In: The review of financial studies 28 (2015) 3, pp. 706-742

Persistent link: https://www.econbiz.de/10011337564

Investor Information, Long-Run Risk, and the Term Structure of Equity

Croce, Mariano M. - 2007

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...

Persistent link: https://www.econbiz.de/10012465744