This insightful collection examines the intersection between macroeconomics and
finance. The key challenge in this area is to find the right measure of ‘bad times’
(the marginal value of wealth) to explain some assets’ high average returns or low
prices as compensation for those assets' tendency to pay off poorly in bad times.
The volume includes a carefully chosen selection of articles that survey the various
approaches to this question – including the equity premium, consumption based models,
general equilibrium models and labour income/idiosyncratic risk approaches. The editor
also provides a comprehensive introduction which sets these papers in context and surveys
the broader literature.
21 articles, dating from 1982 to 2004 Contributors include: J.Y. Campbell, G.
Constantinides, E.F. Fama, K.R. French, L.P. Hansen, M. Lettau, S. Ludvigson, R. Mehra, E.
Prescott, K. Singleton
Table of Contents:
Acknowledgements
Introduction John H. Cochrane
PART I FACTS: TIME-VARIATION AND BUSINESS CYCLE CORRELATION OF RETURNS
1. John H. Cochrane (1999), ‘New Facts in Finance’
2. Eugene F. Fama and Kenneth R. French (1989), ‘Business Conditions and Expected
Returns on Stocks and Bonds’
3. Martin Lettau and Sydney Ludvigson (2001), ‘Consumption, Aggregate Wealth, and
Expected Stock Returns’
4. Eugene F. Fama and Kenneth R. French (1996), ‘Multifactor Explanations of Asset
Pricing Anomalies’
5. Jimmy Liew and Maria Vassalou (2000), ‘Can Book-to-Market, Size and Momentum be Risk
Factors that Predict Economic Growth?’
PART II EQUITY PREMIUM
6. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium: A Puzzle’
7. John H. Cochrane and Lars Peter Hansen (1992), ‘Asset Pricing Explorations for
Macroeconomics’
PART III CONSUMPTION MODELS
8. Lars Peter Hansen and Kenneth J. Singleton (1982), ‘Generalized Instrumental
Variables Estimation of Nonlinear Rational Expectations Models’
9. Lars Peter Hansen and Kenneth J. Singleton (1984), ‘Errata’
10. Martin Lettau and Sydney Ludvigson (2001), ‘Resurrecting the (C)CAPM: A
Cross-Sectional Test When Risk Premia Are Time-Varying’
11. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A
Consumption-Based Explanation of Aggregate Stock Market Behavior’
PART IV PRODUCTION, INVESTMENT AND GENERAL EQUILIBRIUM MODELS
12. John H. Cochrane (1991), ‘Production-Based Asset Pricing and the Link Between Stock
Returns and Economic Fluctuations’
13. John H. Cochrane (1996), ‘A Cross-Sectional Test of an Investment-Based Asset
Pricing Model’
14. Urban J. Jermann (1998), ‘Asset Pricing in Production Economies’
15. Michele Boldrin, Lawrence J. Christiano and Jonas D.M. Fisher (2001), ‘Habit
Persistence, Asset Returns, and the Business Cycle’
16. Lior Menzly, Tano Santos and Pietro Veronesi (2004), ‘Understanding Predictability’
17. Thomas D. Tallarini Jr. (2000), ‘Risk-Sensitive Real Business Cycles’
18. Robert E. Hall (2001), ‘The Stock Market and Capital Accumulation’
PART V LABOR INCOME AND IDIOSYNCRATIC RISK
19. John Y. Campbell (1996), ‘Understanding Risk and Return’
20. George M. Constantinides and Darrell Duffie (1996), ‘Asset Pricing with
Heterogeneous Consumers’
21. Alon Brav, George M. Constantinides and Christopher C. Geczy (2002), ‘Asset Pricing
with Heterogeneous Consumers and Limited Participation: Empirical Evidence’
Name Index
Hardcover
648 pages
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