My Citations
Scholar Home
  Advanced Scholar Search



Scholar      Create email alertResults 1 - 21 of 21. (0.11 sec) 

Mean reversion in equilibrium asset prices

[PDF] from martinsewell.com
SG Cecchetti, PS Lam… - 1990 - nber.org
Recent empirical studies have found that stock returns contain substantial negative serial
correlation at long horizons. We examine this finding with a series of Monte Carlo
simulations in order to demonstrate that it is consistent with an equilibrium model of asset ...
Cited by 454 - Related articles - Library Search - All 21 versions

The equity premium and the risk-free rate* 1:: Matching the moments

[PDF] from dklevine.com
Full text - MIT Libraries
SG Cecchetti, P Lam… - Journal of Monetary Economics, 1993 - Elsevier
Abstract We investigate the ability of a representative agent model with time-separable utility
to explain the first and second moments of the risk-free rate and the return to equity. We
generalize the standard calibration methodology by accounting for the uncertainty in both ...
Cited by 244 - Related articles - Library Search - All 16 versions

Asset pricing with distorted beliefs: are equity returns too good to be true?

[PDF] from psu.edu
SG Cecchetti, P Lam… - 1998 - nber.org
We study a Lucas asset pricing model that is standard in all respects representative agent's
subjective beliefs about endowment growth are distorted. Using constant-relative-risk-
aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive ...
Cited by 220 - Related articles - Library Search - BL Direct - All 25 versions

The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series* 1:: Estimation and comparison …

Full text - MIT Libraries
P Lam - Journal of Monetary Economics, 1990 - Elsevier
Abstract This paper generalizes the Hamilton model to the important case in which the
autoregressive component need not contain a unit root. Using US quarterly real GNP data,
the model is estimated and the results are compared to those of Hamilton. Some Monte ...
Cited by 192 - Related articles - Library Search - All 6 versions

Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns

SG Cecchetti, PS Lam… - Journal of Finance, 1994 - JSTOR
The Euler equations derived from intertemporal asset pricing models, together with the
unconditional moments of asset returns, imply a lower bound on the volatility of the
intertemporal marginal rate of substitution. This paper develops and implements statistical ...
Cited by 81 - Related articles - Get it from MIT Libraries - BL Direct - All 9 versions

Permanent Income, Liquidity, and Adjustments of Automobile Stocks: Evidence from Panel Data

[PDF] from oxfordjournals.org
Full text - MIT Libraries
PS Lam - The Quarterly Journal of Economics, 1991 - qje.oxfordjournals.org
Abstract A recent article by Bernanke [1984] tests the rational expectations-permanent
income hypothesis using panel data on automobile expenditures. He finds no evidence
refuting the hypothesis. This paper incorporates a threshold adjustment process into ...
Cited by 43 - Related articles - All 9 versions

Variance-ratio tests: small-sample properties with an application to international output data

SG Cecchetti… - Journal of Business & Economic Statistics, 1994 - JSTOR
Two aspects of statistical inference using variance-ratio statistics are studied,(1) the
accuracy of asymptotic approximations in small samples and (2) the size distortion arising
from searching over many horizons in deciding whether to reject a model. A joint test ...
Cited by 33 - Related articles - Get it from MIT Libraries - BL Direct - All 5 versions

A Markov‐Switching Model Of Gnp Growth With Duration Dependence*

Full text - MIT Libraries
P Lam - International Economic Review, 2004 - Wiley Online Library
A Markov-switching model of postwar quarterly real GNP growth is used to examine the
duration dependence of business cycles. It extends the Hamilton model and the duration-
dependent model of Durland and McCurdy, and compares quite favorably to simpler ...
Cited by 33 - Related articles - BL Direct - All 8 versions

Irreversibility and consumer durables expenditures

Full text - MIT Libraries
P Lam - Journal of Monetary Economics, 1989 - Elsevier
Abstract This paper examines the implications of resale market imperfection on consumer
durables expenditures. The consumer optimization problem under resale market
imperfection is formulated and solved numerically by dynamic programming algorithm. ...
Cited by 24 - Related articles - All 5 versions

Income risk and portfolio choice: an empirical study

[PDF] from afajof.org
Full text - MIT Libraries
X Angerer… - The Journal of Finance, 2009 - Wiley Online Library
This paper investigates the relationship between portfolio choice and labor income risk in
the National Longitudinal Survey of Youth 1979 Cohort. Permanent income risk (variability of
shocks to income that have permanent effect) significantly reduces the share of risky ...
Cited by 17 - Related articles - All 31 versions

[BOOK] A Markov switching model of GNP growth with duration dependence

[PDF] from greatdepressionbook.com
P Lam - 1997 - greatdepressionbook.com
ABSTRACT We use a regime-switching model of real GNP growth to examine the duration
dependence of business cycles. The model extends Hamilton (1989) and Durland and
McCurdy (1994) and is estimated using both the postwar NIPA data and the secular data ...
Cited by 13 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 18 versions

The consumption function under exponential utility:: An extension

Full text - MIT Libraries
P Lam - Economics Letters, 1987 - Elsevier
Abstract A recent article by Cantor derived a closed-form solution for the consumer
optimization problem with exponential utility and normal income shocks. This paper derives
solutions without imposing the normality assumption, and investigates the effect of risk in ...
Cited by 7 - Related articles - All 5 versions

Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns

SG Cecchetti, P Lam… - 1992 - nber.org
The Euler equations derived from a broad range of intertemporal asset pricing models,
together with the first two unconditional moments of asset returns, imply a lower bound on
the volatility of the intertemporal marginal rate of substitution. We develop and implement ...
Cited by 5 - Related articles - Library Search - All 6 versions

[CITATION] What Do We Learn from Variance Ratio Statistics? A Study of Stationary and Nonstationary Models with Breaking Trends

SG Cecchetti… - 1991 - mimeo., Department of Economics, …
Cited by 4 - Related articles

[CITATION] Two essays on consumer durables expenditures

P Lam - 1986 - en.scientificcommons.org
Publikationsansicht. 3982067. Two essays on consumer durables expenditures / (1986). Lam,
Pok-sang. Abstract. Thesis (Ph. D.)--Harvard University, 1986.. Includes bibliographical references.
Details der Publikation. Download, http://worldcat.org/oclc/18203250. ...
Cited by 2 - Related articles - Cached

[CITATION] Mean reversion in equilibrium asset prices

P Lam… - 1988
Cited by 2 - Related articles - All 2 versions

[CITATION] The equity premium and the risk free rate: Matching the moments, Ohio State University, Columbus

S Cecchetti, P Lam… - 1990 - OH
Cited by 2 - Related articles

[PDF] Asset Pricing and Portfolio Choice in the Presence of Housing

[PDF] from ohiolink.edu
P Lam - 2010 - etd.ohiolink.edu
Related articles - All 2 versions

[CITATION] Business cycles and financial crises: Ann Arbor, Univ. of Michigan Press, 1990[ua Ausg.]

Full text - MIT Libraries
P Lam - Journal of economic literature, 1991

[CITATION] An Editors' Comment on" Lessons from the JMCB Archive" by BD McCullough, Kerry Anne McGeary, and Teresa D. Harrison

P Lam, D Lucas, M Ogaki… - Journal of Money, Credit …, 2006 - econpapers.repec.org
Downloads: (external link) http://dx.doi.org/10.1353/mcb.2006.0059 full text (application/pdf)
Access to full text is restricted to subscribers. ... Related works: This item may be available elsewhere
in EconPapers: Search for items with the same title. ... This site is part of RePEc and all ...
Cached - Get it from MIT Libraries - All 7 versions

Special Issue Editors' Introduction

Full text - MIT Libraries
H Dellas, P Lam… - Journal of Money, Credit and …, 2011 - Wiley Online Library
... Special Issue Editors' Introduction. Harris Dellas,; Pok-sang Lam,; Masao Ogaki. Article
first published online: 20 JUL 2011. DOI: 10.1111/j.1538-4616.2011.00407.x. © 2011 The
Ohio State University. Issue. Journal of Money, Credit and Banking. ...
All 4 versions

 Create email alert



 

About Google Scholar - All About Google - My Citations

©2012 Google