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Cited by 597

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Intertemporal asset pricing

Shanken, Jay·1990·Journal of Econometrics
DOI 10.1016/0304-4076(90)90095-b
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Research works printed but not linked: 30

  1. Bollerslev, 1988, A capital asset pricing model with time varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527 · DOI · Paper page
  2. Breeden, 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7, 265, 10.1016/0304-405X(79)90016-3 · DOI · Paper page
  3. Breeden, 1986, Empirical tests of the consumption-oriented CAPM, Journal of Finance, 44, 231, 10.2307/2328589 · DOI · Paper page
  4. Carleton, 1986, The size anomaly: Does industry group matter?, Journal of Portfolio Management, 36, 10.3905/jpm.1986.36 · doi:10.3905/jpm.1986.36
  5. Campbell, 1987, Stock returns and the term structure, Journal of Financial Economics, 18, 373, 10.1016/0304-405X(87)90045-6 · DOI · Paper page
  6. Christie, 1982, The stochastic behavior of common stock variances: Value, leverage and interest rate effects, Journal of Financial Economics, 10, 407, 10.1016/0304-405X(82)90018-6 · DOI · Paper page
  7. Fama, 1976, Inflation uncertainty and expected returns on treasury bills, Journal of Political Economy, 84, 427, 10.1086/260453 · DOI · Paper page
  8. Fama, 1987, The information in long-maturity forward rates, American Economic Review, 77, 680
  9. Fama, 1977, Asset returns and inflation, Journal of Financial Economics, 5, 115, 10.1016/0304-405X(77)90014-9 · DOI · Paper page
  10. Ferson, 1986, Tests of asset pricing with time-varying expected risk premiums and market betas, Journal of Finance, 42, 201, 10.2307/2328249 · doi:10.2307/2328249
  11. Fraenkel, 1982, In search of the exchange risk premium: A six currency test assuming mean-variance optimization, Journal of International Money and Finance, 5, 853
  12. French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2 · DOI · Paper page
  13. Gibbons, 1985, Testing asset pricing models with changing expectation and an unobservable market portfolio, Journal of Financial Economics, 14, 217, 10.1016/0304-405X(85)90015-7 · DOI · Paper page
  14. Gibbons, 1989, A test of the efficiency of a given portfolio, Econometrica, 10.2307/1913625 · DOI · Paper page
  15. Grossman, 1982, Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information, Journal of Financial Economics, 10, 195, 10.1016/0304-405X(82)90013-7 · doi:10.1016/0304-405x(82)90013-7
  16. Hansen, 1982, Generalized instrumental variables estimation of nonlinear rational expectations models, Econometrica, 50, 1269, 10.2307/1911873 · DOI · Paper page
  17. Hansen, 1981, Econometric implications of the intertemporal capital asset pricing model
  18. Hasbrouck, 1988, Estimating linear models of expectations and uncertainty, Studies in Banking and Finance, 5, 99
  19. Keim, 1983, Size related anomalies and stock return seasonality: Further empirical evidence, Journal of Financial Economics, 12, 13, 10.1016/0304-405X(83)90025-9 · DOI · Paper page
  20. Keim, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics, 17, 357, 10.1016/0304-405X(86)90070-X · DOI · Paper page
  21. Long, 1974, Stock prices, inflation, and the term structure of interest rates, Journal of Financial Economics, 1, 131, 10.1016/0304-405X(74)90002-6 · DOI · Paper page
  22. MacKinlay, 1986, On multivariate tests of the CAPM, Journal of Financial Economics, 18, 341, 10.1016/0304-405X(87)90044-4 · DOI
  23. Merton, 1973, An intertemporal capital asset pricing model, Econometrica, 44, 867, 10.2307/1913811 · DOI · Paper page
  24. Morgan, 1987, Measurement of abnormal returns from small firms, Journal of Business and Economic Statistics, 5, 121, 10.2307/1391222 · doi:10.2307/1391222
  25. Rozeff, 1976, Capital market seasonality: The case of stock returns, Journal of Financial Economics, 3, 379, 10.1016/0304-405X(76)90028-3 · DOI · Paper page
  26. Rubinstein, 1976, The valuation of uncertain income streams and the pricing of options, Bell Journal of Economics, 7, 407, 10.2307/3003264 · DOI · Paper page
  27. Shanken, 1985, Multivariate tests of the zero-beta CAPM, Journal of Financial Economics, 14, 327, 10.1016/0304-405X(85)90002-9 · DOI · Paper page
  28. Shanken, 1987, Multivariate proxies and asset pricing relations: Living with the Roll critique, Journal of Financial Economics, 18, 91, 10.1016/0304-405X(87)90062-6 · DOI · Paper page
  29. Sweeney, 1986, The pricing of interest-rate risk: Evidence from the stock market, Journal of Finance, 41, 393, 10.2307/2328443 · DOI
  30. White, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817, 10.2307/1912934 · DOI · Paper page

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Metadata

Authors
Shanken, J.
Venue
Journal of Econometrics
Publisher
Elsevier BV
Published
1990-07
Volume
45
Issue
1-2
Pages
99-120
ISSN
0304-4076 (ISSN-L)
DOI
10.1016/0304-4076(90)90095-b
OpenAlex
W1573041115
Cited by
597
References
0
FWCI
14.93
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)

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CoChat. (2026). Citation check: Intertemporal asset pricing. https://app.cochat.ai/papers/10.1016/0304-4076(90)90095-b
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Shanken, J. (1990). Intertemporal asset pricing. Journal of Econometrics. https://doi.org/10.1016/0304-4076(90)90095-b

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

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