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Basis-momentum, term structure of commodity futures returns, maturity-specific price pressure, commodity factor pricing model, volatility risk
Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value
Asset pricing, Commodity futures markets, Commodity index investment, Commodity risk premium, Hedging
Mispricing, Price Wedges, Tobin’s q, Real Misallocation
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Credit Spreads, Time-Varying Risk Premia, Macroeconomic Risk, Shocks, Return Predictability
inflation, time-varying inflation risk premium, inflation hedging, individual stock returns, cross-sectional asset pricing, nominal-real covariance
Inflation, (Time-Varying) Inflation Risk Premium, Inflation Hedging, Cross-Sectional Asset-Pricing, TIPS, Nominal-Real Covariance
Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models
Characteristics, Persistent-Transitory Decomposition, Cross-Sectional Return Predictability, Discount Rates, Asset Pricing Tests
State variables, Macroeconomic Risk, Linear Asset Pricing Models, Individual Stock Returns, Time-series and Cross-Sectional Consistency
Conditional Asset Pricing Models, State Variable Risk Premiums, Intertemporal CAPM, Time-Varying Consumption Predictability
Macroeconomic Announcements, News, Price Impact, Discount Rate and Cash Flow Components, Risk Premia
Macroeconomic Shocks, Stock Return Forecasts, Time-Varying Discount Rates, Real Uncertainty, Excess Volatility
Equity term structure, TFP news shock, equity yields, dividend growth, discount rate