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The Leading Premium

https://doi.org/10.1093/rfs/hhad009
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0164-0704(89)90056-6openalex-snapshot
NBER macroeconomics annual 1987
inferredcites →https://doi.org/10.1016/0304-405x(79)90013-8openalex-snapshot
Risk measurement when shares are subject to infrequent trading
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jet.2013.06.001openalex-snapshot
Advance information and asset prices
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.012openalex-snapshot
The conditional CAPM does not explain asset-pricing anomalies☆
inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.010openalex-snapshot
Do industries lead stock markets?
inferredcites →https://doi.org/10.1016/j.jfineco.2009.09.001openalex-snapshot
A skeptical appraisal of asset pricing tests☆
inferredcites →https://doi.org/10.1016/j.jfineco.2011.02.014openalex-snapshot
The term structures of equity and interest rates
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.011openalex-snapshot
Size, value, and momentum in international stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2013.08.017openalex-snapshot
Equity yields
inferredcites →https://doi.org/10.1016/j.jfineco.2014.02.001openalex-snapshot
Credit lines as monitored liquidity insurance: Theory and evidence
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2017.01.009openalex-snapshot
The term structure of returns: Facts and theory
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.05.006openalex-snapshot
The cross-section and time series of stock and bond returns
inferredcites →https://doi.org/10.1016/s0304-405x(03)00065-5openalex-snapshot
Long-horizon regressions: theoretical results and applications
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1086/261797openalex-snapshot
The Allocation of Capital and Time over the Business Cycle
inferredcites →https://doi.org/10.1086/322829openalex-snapshot
Home Production Meets Time to Build
inferredcites →https://doi.org/10.1086/422634openalex-snapshot
On Predicting Stock Returns with Nearly Integrated Explanatory Variables
inferredcites →https://doi.org/10.1086/648882openalex-snapshot
Durability of Output and Expected Stock Returns
inferredcites →https://doi.org/10.1086/654119openalex-snapshot
New Indexes of Coincident and Leading Economic Indicators
inferredcites →https://doi.org/10.1086/710345openalex-snapshot
Firm Volatility in Granular Networks
inferredcites →https://doi.org/10.1093/qje/qjz041openalex-snapshot
The Rise of Market Power and the Macroeconomic Implications*
inferredcites →https://doi.org/10.1093/revfin/hhm003openalex-snapshot
Industry Information Diffusion and the Lead-lag Effect in Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhaa034openalex-snapshot
Production Networks and Stock Returns: The Role of Vertical Creative Destruction
inferredcites →https://doi.org/10.1093/rfs/hhs073openalex-snapshot
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhu084openalex-snapshot
Investor Information, Long-Run Risk, and the Term Structure of Equity
inferredcites →https://doi.org/10.1093/rfs/hhy015openalex-snapshot
News Shocks and the Production-Based Term Structure of Equity Returns
inferredcites →https://doi.org/10.1093/rfs/hhy087openalex-snapshot
Estimating the Value of Information
inferredcites →https://doi.org/10.1111/0022-1082.00146openalex-snapshot
Do Industries Explain Momentum?
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00776.xopenalex-snapshot
Consumption, Dividends, and the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01201.xopenalex-snapshot
Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01379.xopenalex-snapshot
Economic Links and Predictable Returns
inferredcites →https://doi.org/10.1111/jofi.12136openalex-snapshot
Growth Opportunities, Technology Shocks, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.12242openalex-snapshot
Dividend Dynamics and the Term Structure of Dividend Strips
inferredcites →https://doi.org/10.1111/jofi.12361openalex-snapshot
Earnings Announcements and Systematic Risk
inferredcites →https://doi.org/10.1111/jofi.12684openalex-snapshot
Networks in Production: Asset Pricing Implications
inferredcites →https://doi.org/10.1111/jofi.12837openalex-snapshot
Non-Financial Firms as Cross-Market Arbitrageurs
inferredcites →https://doi.org/10.1111/jofi.12883openalex-snapshot
Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1162/003465398557320openalex-snapshot
Predicting U.S. Recessions: Financial Variables as Leading Indicators
inferredcites →https://doi.org/10.1198/073500102317351921openalex-snapshot
Macroeconomic Forecasting Using Diffusion Indexes
inferredcites →https://doi.org/10.1257/0002828053828581openalex-snapshot
Bond Risk Premia
inferredcites →https://doi.org/10.1257/aer.102.3.412openalex-snapshot
Measuring the Upstreamness of Production and Trade Flows
inferredcites →https://doi.org/10.1257/aer.102.4.1596openalex-snapshot
On the Timing and Pricing of Dividends
inferredcites →https://doi.org/10.2139/ssrn.1312091openalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.2139/ssrn.1341327openalex-snapshot
The Cross-Section and Time-Series of Stock and Bond Returns
inferredcites →https://doi.org/10.2139/ssrn.2022279openalex-snapshot
Credit Lines as Monitored Liquidity Insurance: Theory and Evidence
inferredcites →https://doi.org/10.2139/ssrn.2197370openalex-snapshot
Network Centrality and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2520929openalex-snapshot
A Comparison of New Factor Models
inferredcites →https://doi.org/10.2139/ssrn.2615074openalex-snapshot
Networks in Production: Asset Pricing Implications
inferredcites →https://doi.org/10.2139/ssrn.441341openalex-snapshot
The Conditional CAPM Does Not Explain Asset-Pricing Anomalies
inferredcites →https://doi.org/10.2139/ssrn.463005openalex-snapshot
Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.661346openalex-snapshot
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1913778openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
inferredcites →https://doi.org/10.2469/faj.v70.n4.1openalex-snapshot
Low-Risk Investing Without Industry Bets
inferredcites →https://doi.org/10.3386/w29002openalex-snapshot
Test Assets and Weak Factors
inferredcites →https://doi.org/10.3386/w5379openalex-snapshot
Predicting U.S. Recessions: Financial Variables as Leading Indicators
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4674080openalex-extracted
The Economic Value of Cross-predictability: A Performance-based Measure
inferred← citeshttps://doi.org/10.1016/j.jedc.2025.105217openalex-snapshot
The “digital” premium: Why does digitalization drive stock returns?
inferred← citeshttps://doi.org/10.2139/ssrn.5020899openalex-snapshot
Does CAPM overestimate more the risk or its price?
inferred← citeshttps://doi.org/10.2139/ssrn.6242398openalex-snapshot
The Value of Information: A Puzzle
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