Concepedia

Asset Return Decomposition

Asset Return Decomposition is a methodological framework in asset pricing empirics that parses observed asset returns into distinct economic components—such as cash flow news, discount rate changes, and irrational investor behavior—to identify the structural drivers of return variation over time.

501

Publications

45K

Citations

906

Authors

559

Institutions

Publications per year

2017–2026

117

Parents

Publications

501

Asset returns and inflation

Eugene F. Fama, G. William Schwert · Journal of Financial Economics · 1977 · 2.8K citations

, , +11

A VARIANCE DECOMPOSITION FOR STOCK RETURNS

1990 · 1.9K citations

, , +17

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Lars Peter Hansen, Kenneth J. Singleton · Journal of Political Economy · 1983 · 1.6K citations

, , +17

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

Ravi Bansal, Amir Yaron · The Journal of Finance · 2000 · 1.4K citations · Full text

, , +16

Ambiguity, Risk, and Asset Returns in Continuous Time

Zengjing Chen, Larry G. Epstein · Econometrica · 2002 · 1.1K citations · Full text

, , +14

1–5 of 501

Authors

906

  1. RS
    Ralph S. J. Koijen

    University of Chicago, United States

    6 publications · 692 citations

    6

    h-index

  2. SG
    Stefano Giglio

    Yale University, United States

    6 publications · 748 citations

    6

    h-index

  3. CR
    Campbell R. Harvey

    Duke University, United States

    5 publications · 452 citations

    5

    h-index

  4. KD
    Kent Daniel

    National Bureau of Economic Research, United States

    5 publications · 1.5K citations

    5

    h-index

  5. CT
    Carsten Tanggaard

    Aarhus Business College, Denmark

    4 publications · 270 citations

    4

    h-index

1–5 of 906

Institutions

559

  1. National Bureau of Economic Research

    Cambridge, United States

    27 h-index

    60 publications

    7K citations

  2. Centre for Economic Policy Research

    London, United Kingdom

    14 h-index

    23 publications

    1.8K citations

  3. New York University

    New York, United States

    13 h-index

    23 publications

    4.5K citations

  4. University of Chicago

    Chicago, United States

    13 h-index

    21 publications

    7.4K citations

  5. Yale University

    New Haven, United States

    11 h-index

    15 publications

    1.8K citations

  6. University of Pennsylvania

    Philadelphia, United States

    11 h-index

    13 publications

    2.8K citations

  7. University of California, Berkeley

    Berkeley, United States

    11 h-index

    17 publications

    1.4K citations

  8. Monash University

    Melbourne, Australia

    10 h-index

    15 publications

    595 citations

1–8 of 559

Venues

  1. SSRN Electronic Journal

    Repository · 68 publications · 2.7K citations

    28

    h-index

  2. The Journal of Finance

    32 publications · 10.4K citations

    27

    h-index

  3. Review of Financial Studies

    21 publications · 3.8K citations

    21

    h-index

  4. Journal of Financial Economics

    21 publications · 5.6K citations

    19

    h-index

  5. International Review of Economics & Finance

    13 publications · 597 citations

    13

    h-index

1–5