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Dividend yields and expected stock returns : alternative procedures for inference and measurement

Hodrick, Robert J. - In: The review of financial studies 5 (1992) 3, pp. 357-386

Persistent link: https://www.econbiz.de/10001129388

Dividend yields and expected stock returns : alternative procedures for inference and measurement

Hodrick, Robert J. - 1991

Persistent link: https://www.econbiz.de/10013452205

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - In: International tax and public finance 6 (1999) 4, pp. 597-620

Persistent link: https://www.econbiz.de/10001498560

Characterizing predictable components in excess returns on equity and foreign exchange markets

Bekaert, Geert; Hodrick, Robert J. - 1991

Persistent link: https://www.econbiz.de/10000819728

Characterizing predictable components in excess returns on equity and foreign exchange markets

Bekaert, Geert - In: The journal of finance : the journal of the American … 47 (1992) 2, pp. 467-509

Persistent link: https://www.econbiz.de/10001128131

Evaluating the specification errors of asset pricing models

Hodrick, Robert J.; Zhang, Xiaoyan - In: Journal of financial economics 62 (2001) 2, pp. 327-376

Persistent link: https://www.econbiz.de/10001621745

Pricing the global industry portfolios

Cavaglia, Stefano M.; Hodrick, Robert J.; Vadim, Moroz; … - 2002

Persistent link: https://www.econbiz.de/10001714926

The cross-section of volatility and expected returns

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - 2004

Persistent link: https://www.econbiz.de/10002418876

The cross-section of volatility and expected returns

Zhang, Xiaoyan; Ang, Andrew; Hodrick, Robert J.; Xing, … - 2004

Persistent link: https://www.econbiz.de/10002073591

Evaluating the Specification Errors of Asset Pricing Models

Hodrick, Robert J.; Zhang, Xiaoyan - 2021

This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

Persistent link: https://www.econbiz.de/10013244733