Results 221 to 230 of about 33,719,712 (243)

The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context

2011
We adopt the habit utility specification of Campbell and Cochrane (1995) to estimate the Australian equity premium: the return on a market portfolio of equities in excess of the risk-free rate.We use Australian quarterly data for private household consumption, population, equity returns, risk-free asset returns, dividend yields and price dividend ...
David E. Allen, Lurion Demello
openaire   +1 more source

An empirical investigation of the consumption based Capital Asset Pricing Model using a modified variance-ratio test

Journal of Economics and Finance, 2001
A chi-square statistic is constructed that compares variance ratios and mean simple returns from data with those implied by an asset pricing model. The statistic is applied to the Consumption based Capital Asset Pricing Model with time non-separable preferences.
openaire   +1 more source

Adjusting Consumption Based Capital Asset Pricing Model within the Framework of an Open Economy: The Case of Iran

2017
The purpose of this study is to investigate the relationship of some macroeconomic variables and asset returns in the framework of a theoretical and empirical Consumption based Capital Assets Pricing Model (CCAPM); for this purpose, this relationship is investigated through the development of a CCAPM basic model and the importation of imported consumer
Bahrami, Jaber, Pahlavani, Mosayeb, Roshan, Reza, Rasekhi, Saeed   +3 more
openaire   +1 more source

Adjusting the consumption-based capital asset pricing model by the estimate bid-ask spreads based on daily highest and lowest prices in Iran

Afro-Asian J. of Finance and Accounting, 2021
Sedighe Alizadeh, Mohammad Nabi Shahiki Tash, Reza Roshan   +2 more
openaire   +1 more source

The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha

Management Science, 2021
Alex Horenstein
exaly  

Six-factor plus intellectual capital in the capital asset pricing model and excess stock return: Empirical evidence in emerging stock markets

Cogent Economics and Finance, 2023
Astrid Maharani, I Made Narsa
exaly  

The Six Decades of the Capital Asset Pricing Model: A Research Agenda

Journal of Risk and Financial Management, 2023
Santosh Kumar, Kamred Udham Singh, Ankit Kumar   +2 more
exaly  

Robust Inference in the Capital Asset Pricing Model Using the Multivariate t-distribution

Journal of Risk and Financial Management, 2020
Manuel Galea
exaly  

Empirical analysis of the generalized consumption asset pricing model: Estimating the cost of capital

Journal of Economics and Business, 2015
Richard Michelfelder
exaly  

Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

American Journal of Agricultural Economics, 1988
Colin Carter
exaly