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The 'Out-of-sample' Performance of Long-Run Risk Models

https://doi.org/10.2139/ssrn.1477148
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26/26 checkable references clean · checked 2026-08-03

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 26 checked references that resolve
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Multiple-Predictor Regressions: Hypothesis Testing
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Stock return predictability and model uncertainty
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Investigating ICAPM with Dynamic Conditional Correlations
resolves10.1198/073500108000000042
Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
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Long-Run Risks and Financial Markets
resolves10.1093/rfs/hhm085
Cointegration and Consumption Risks in Asset Returns
resolves10.1111/j.1540-6261.2005.00776.x
Consumption, Dividends, and the Cross Section of Equity Returns
resolves10.3386/w13107
Rational Pessimism, Rational Exuberance, and Asset Pricing Models
resolves10.1111/j.1540-6261.2004.00670.x
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
resolves10.1111/j.1540-6261.1991.tb03745.x
Returns and Volatility of Low‐Grade Bonds 1977–1989
resolves10.1111/j.1540-6261.1989.tb05056.x
Empirical Tests of the Consumption‐Oriented CAPM
resolves10.1016/j.frl.2004.10.001
tay's as good as cay
resolves10.1086/262026
Understanding Risk and Return
resolves10.1111/0022-1082.00347
Consumption, Aggregate Wealth, and Expected Stock Returns
resolves10.1086/323282
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
resolves10.1093/rfs/hhm074
Reconciling the Return Predictability Evidence
resolves10.2469/faj.v30.n1.61
Beta Coefficients as Predictors of Return
resolves10.1111/j.1540-6261.1993.tb04731.x
Predictable Stock Returns: The Role of Small Sample Bias
resolves10.2307/1913610
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
resolves10.1111/j.1467-842x.1988.tb00484.x
BIAS IN THE ESTIMATION OF MULTIVARIATE AUTOREGRESSIONS
resolves10.1086/426042
Consumption Risk and the Cross Section of Expected Returns
resolves10.1111/0022-1082.00365
The Equity Premium and Structural Breaks
resolves10.1111/j.1540-6261.2006.00849.x
Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
resolves10.2307/3003264
The Valuation of Uncertain Income Streams and the Pricing of Options
resolves10.1093/rfs/5.1.1
On the Estimation of Beta-Pricing Models
resolves10.1111/j.1540-6261.1964.tb02865.x
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
The 4 references without a DOI — listed, not checked
no DOI — not checkedref9
no DOI — not checkedref12
no DOI — not checkedref20
no DOI — not checkedref30
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