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Does Ultimate Consumption Risk Rescue the CCAPM? A Replication of Parker and Julliard (2005)

https://doi.org/10.2139/ssrn.4316977
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What this work says

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

inferredcites →https://doi.org/10.1016/0304-3932(85)90061-3openalex-extracted
The equity premium: A puzzle
inferredcites →https://doi.org/10.1016/0304-405x(79)90016-3openalex-extracted
An intertemporal asset pricing model with stochastic consumption and investment opportunities
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jbankfin.2020.105956openalex-extracted
Asset pricing implications of money: New evidence
inferredcites →https://doi.org/10.1016/j.jfineco.2012.07.001openalex-extracted
Multifactor models and their consistency with the ICAPM
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1017/s0022109014000131openalex-extracted
Interest Rate Risk and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.1017/s002210901700028xopenalex-extracted
Short-Term Interest Rates and Stock Market Anomalies
inferredcites →https://doi.org/10.1086/262034openalex-extracted
A Cross-Sectional Test of an Investment-Based Asset Pricing Model
inferredcites →https://doi.org/10.1086/426042openalex-extracted
Consumption Risk and the Cross Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhv043openalex-extracted
Dissecting Anomalies with a Five-Factor Model
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05202.xopenalex-extracted
Multifactor Explanations of Asset Pricing Anomalies
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00848.xopenalex-extracted
A Consumption‐Based Explanation of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01253.xopenalex-extracted
Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jmcb.12823openalex-extracted
What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments
inferredcites →https://doi.org/10.1111/jofi.12035openalex-extracted
Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology
inferredcites →https://doi.org/10.1111/jofi.12855openalex-extracted
Robust Inference for Consumption‐Based Asset Pricing
inferredcites →https://doi.org/10.1142/s2010139220500147openalex-extracted
ICAPM and the Accruals Anomaly
inferredcites →https://doi.org/10.1257/0002828043052240openalex-extracted
Bad Beta, Good Beta
inferredcites →https://doi.org/10.1287/mnsc.1120.1557openalex-extracted
Intertemporal CAPM with Conditioning Variables
inferredcites →https://doi.org/10.2139/ssrn.1571481openalex-extracted
inferredcites →https://doi.org/10.2307/1912775openalex-extracted
Large Sample Properties of Generalized Method of Moments Estimators
inferredcites →https://doi.org/10.2307/1912934openalex-extracted
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
inferredcites →https://doi.org/10.2307/1913837openalex-extracted
Asset Prices in an Exchange Economy
inferredcites →https://doi.org/10.2307/1924119openalex-extracted
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/2977928openalex-extracted
inferredcites →https://doi.org/10.3386/w0564openalex-extracted
The Determinants of the Variability of Stock Market Prices
inferredcites →https://doi.org/10.1016/b978-044450899-7.50014-2openalex-snapshot
Financial Markets and the Real Economy
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01629.xopenalex-snapshot
Asset Pricing with Garbage

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

inferred← citeshttps://doi.org/10.2139/ssrn.4640368openalex-extracted
On the (Ir)relevance of Long-Run Consumption Growth for Cross-Sectional Equity Risk Premia: An Empirical Perspective
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