A Cross-Sectional Test of an Investment-Based Asset Pricing Model

No abstract is available for this paper.

• Publication year

  1996

• Venue

  Journal of Political Economy

• Publication date

  1996-06-01

• Fields of study

  Economics

• Identifiers
  DOI 10.1086/262034
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Portfolio Inefficiency and the Cross-Section of Expected Returns

  1995cited by this paper
• Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

  1994cited by this paper
• Assessing Specification Errors in Stochastic Discount Factor Models

  1994cited by this paper
• Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

  1991cited by this paper
• Diagnosing Asset Pricing Models Using the Distribution of Asset Returns

  1991cited by this paper
• Implications of Security Market Data for Models of Dynamic Economies

  1991cited by this paper
• Intertemporal asset pricing: An Empirical Investigation

  1990cited by this paper
• Time-Varying Conditional Covariances in Tests of Asset Pricing Models

  1989cited by this paper
• A Test of the Efficiency of a Given Portfolio

  1989cited by this paper
• Asset pricing and production : theory and empirical tests

  1989cited by this paper
• The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives

  1988cited by this paper
• Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

  1987cited by this paper
• THE ROLE OF CONDITIONING INFORMATION IN DEDUCING TESTABLE RESTRICTIONS IMPLIED BY DYNAMIC ASSET PRICING MODELS1

  1987cited by this paper
• Hypothesis Testing with Efficient Method of Moments Estimation

  1987cited by this paper
• Economic Forces and the Stock Market

  1986cited by this paper
• AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES

  1985cited by this paper
• A Simple Econometric Approach for Utility‐Based Asset Pricing Models

  1985cited by this paper
• Mean-Variance Theory in Complete Markets

  1982cited by this paper
• Inflation, real returns and capital investment

  1982cited by this paper
• Asset Prices in a Production Economy

  1982cited by this paper
• LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF

  1982cited by this paper
• A Simple Approach to the Valuation of Risky Streams

  1978cited by this paper
• Risk, Return, and Equilibrium: Empirical Tests

  1973cited by this paper

• Explaining the equity premium in Australia: a disaggregated consumption approach

  2026cites this paper
• Factor Models for Conditional Asset Pricing

  2025cites this paper
• Consumption measurement and the limits of insurance: Evidence from Australia

  2025cites this paper
• What Really Explains the Korea Discount and PBR? A Comparison of the Growth Potential, Shareholder Payout, and Governance Hypotheses

  2025cites this paper
• Is the ESG Score Part of the Set of Information Available to Investors? A Conditional Version of the Green Capital Asset Pricing Model

  2025cites this paper
• Dynamic Efficiency Redux: Evidence from China

  2025cites this paper
• Macro-finance Review

  2025cites this paper
• AMERICAN FINANCE ASSOCIATION

  2025cites this paper
• Ex ante bond returns and time-varying monotonicity

  2025cites this paper
• A Quantum Leap in Asset Pricing: Explaining Anomalous Returns

  2025cites this paper
• Fundamental Anomalies

  2025cites this paper
• Do subsidy allocation decisions conform to Q theory? Evidence from China

  2025cites this paper
• The Role of Human Capital in Explaining Asset Return Dynamics in the Indian Stock Market During the COVID Era

  2025cites this paper
• Housing risk and the cross section of returns across many asset classes

  2024cites this paper
• Financial market concentration and misallocation

  2024cites this paper
• Inflation, risk, and dividend growth

  2024cites this paper
• Risk Aversion and Asset Market Participation: Evidence From Micro-level Register Data

  2024cites this paper
• Stock returns and monetary policy stance

  2024cites this paper
• Macroeconomic Expectations and Expected Returns

  2024cites this paper
• Risk price decomposition and the output gap

  2024cites this paper
• Production-Based Exchange Rates: The q-Theory of Multinationals

  2024cites this paper
• Cryptocurrency returns and consumption-based asset pricing

  2024cites this paper
• Estimating and testing investment-based asset pricing models

  2024cites this paper
• Do oil price shocks drive systematic risk premia in stock markets? A novel investment application

  2024cites this paper
• Factor Model Comparisons with Conditioning Information

  2024cites this paper
• The impact of heterogeneous consumption and productivity expectations on factor risk premia

  2024cites this paper
• External trade policy uncertainty, corporate risk exposure, and stock market volatility

  2024cites this paper
• The Role of Shifts in the Effective Tax Rate on the Cost of Equity

  2024cites this paper
• Bank credit, consumption risk, and the cross-section of expected returns

  2024cites this paper
• Liquidity Risk and Currency Premia

  2024cites this paper
• Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia are Time-Varying: A Comment

  2023cites this paper
• Output gap and consumption risk on the cross-section of stock returns in Korea

  2023cites this paper
• Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

  2023cites this paper
• Technology spillover, corporate investment, and stock returns

  2023cites this paper
• Does the investment-profitability correlation affect the factor premiums? Evidence from China

  2023cites this paper
• The Role of Housing Mortgage Leverage in Stock Asset Pricing: Evidence from the Chinese A-share Market

  2023cites this paper
• The equity premium puzzle and two assets: GMM estimation

  2023cites this paper
• On the (Ir)relevance of Long-Run Consumption Growth for Equity Risk Premia

  2023cites this paper
• The long-run risk premium in the intertemporal CAPM: International evidence

  2023cites this paper
• The ICAPM and empirical pricing factors: A simulation study

  2023cites this paper
• Dissecting the Expected Investment Growth Premium

  2023cites this paper
• An Investment-Based Explanation of Currency Excess Returns

  2023cites this paper
• A Quantum Leap in Asset Pricing: Explaining Anomalous Returns

  2023cites this paper
• Stock Returns and Risks: An Empirical Assessment Using Modified CAPM Approach

  2023cites this paper
• Carbon dioxide and asset pricing: Evidence from international stock markets

  2023cites this paper
• When do investors go green? Evidence from a time-varying asset-pricing model

  2023cites this paper
• Evaluating asset pricing models with non-traded factors using the method of maximum-correlated portfolios

  2023cites this paper
• Quarterly investment spikes, stock returns, and the investment factor

  2023cites this paper
• National cultures and the asset growth effect

  2023cites this paper
• Asset pricing tests for pandemic risk

  2023cites this paper
• Can the changes in fundamentals explain the attenuation of anomalies?

  2023cites this paper
• US structural drivers of international portfolio returns

  2023cites this paper
• Global Risk and Market Conditions

  2022cites this paper
• A Tutorial on the Generalized Method of Moments (GMM) in Finance

  2022cites this paper
• Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling

  2022cites this paper
• Asset pricing with and without garbage: The overlooked triple-hypothesis problem

  2022cites this paper
• Determinants of time-varying equity risk premia in an emerging market

  2022cites this paper
• A systematic and non-systematic approach to monetary policy shocks and monetary transmission process in Nigeria

  2022cites this paper
• Um Tutorial sobre o Método Generalizado dos Momentos (GMM) em Finanças

  2022cites this paper
• Stock Performance, Sector’s Nature and Macroeconomic Environment

  2022cites this paper
• General Purpose Technologies as Systematic Risk in Global Stock Markets

  2022cites this paper
• Canonical Portfolios: Optimal Asset and Signal Combination

  2022cites this paper
• How does (C)CAPM digest anomalies?

  2022cites this paper
• Behavioral Biases and the Asset Growth Anomaly

  2022cites this paper
• Factorial asset pricing models using statistical anomalies

  2022cites this paper
• Journal of Economics and International Finance

  2022cites this paper
• Estimating the cost of equity for the regulated energy and infrastructure sectors in India

  2022cites this paper
• Volatility in U.S. Housing Sector and the REIT Equity Return

  2022cites this paper
• The Time-Varying Risk Price of Currency Portfolios

  2022cites this paper
• Credit, default, financial system and development

  2021cites this paper
• Factors and risk premia in individual international stock returns

  2021cites this paper
• An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor By Kuntara Pukthuanthong, Richard Roll, and Junbo Wang Authors’ Coordinates Pukthuanthong

  2021cites this paper
• Skin in the Game: Operating Growth, Firm Performance, and Future Stock Returns

  2021influential citation
• Rents and Intangible Capital: A Q+ Framework

  2021cites this paper
• Aggregate expected investment growth and stock market returns

  2021cites this paper
• NBER WORKING PAPER SERIES RENTS AND INTANGIBLE CAPITAL : A Q + FRAMEWORK Nicolas Crouzet

  2021influential citation
• DISSECTING THE ASSET GROWTH ANOMALY: A CASE OF PAKISTAN STOCK EXCHANGE (PSX)

  2021cites this paper
• Evaluating Fund Performance Within the Stochastic Discount Factor Framework

  2021influential citation
• Structural innovation in state variables and expected stock returns

  2021cites this paper
• International asset pricing with strategic business groups

  2021cites this paper
• Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns

  2021cites this paper
• External sources of finance and value creation of Chinese mergers and acquisitions: does ownership type matter?

  2021cites this paper
• Determinants and Predictability of Commodity Producer Returns

  2021cites this paper
• Asset Pricing with and without Garbage: Testability of Consumption-based Models*

  2021cites this paper
• Are the Purchase Prices of Solar Energy Projects under Development Consistent with Cost of Capital Forecasts?

  2021cites this paper
• Oil volatility risk

  2021cites this paper
• Asset Growth and Future Stock Returns: Insight from International Equity Markets

  2021cites this paper
• What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments

  2021cites this paper
• Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return

  2021cites this paper
• Factor investing: A stock selection methodology for the European equity market

  2021cites this paper
• Effi cient Estimation of General Equilibrium Models Using Asset Returns and Industry Production Data∗

  2021cites this paper
• Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector

  2021cites this paper
• The conditional volatility premium on currency portfolios

  2021cites this paper
• The cross section of Chinese commodity futures return

  2021cites this paper
• A penalized two-pass regression to predict stock returns with time-varying risk premia

  2021cites this paper
• Stock Return Data and Empirical Methods

  2021cites this paper
• Testing the eigenvalue structure of spot and integrated covariance

  2021cites this paper
• Empirical Form of the ZCAPM

  2021cites this paper
• Bilinear Input Normalization for Neural Networks in Financial Forecasting

  2021cites this paper
• Understanding the Asset Growth Anomaly

  2021influential citation