Results 31 to 40 of about 96,490 (163)
The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This is an attempt to empirically investigate the risk and return relationship of individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan. The analysis is based on daily as well as monthly data of 49 companies and KSE
Attiya Y. Javid, Eatzaz Ahmad
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The Real Interest Rate Spread as a Monetary Policy Indicator [PDF]
This paper employs a consumption-based capital asset pricing model to derive the generalised Fisher equation, in order to estimate the natural rate of interest and corresponding real interest rate spread for the US.
Browne, Frank, Everett, Mary
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Asset Returns and State-Dependent Risk Preferences [PDF]
We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess on equity includes both consumption risk as ...
Gordon, Stephen, St-Amour, Pascal
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Local Identification of Nonparametric and Semiparametric Models [PDF]
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix.
Sokbae Lee +3 more
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Consumption Risk and Cross-Sectional Returns [PDF]
This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset's expected return is determined by its equilibrium risk to consumption.
Christian Julliard, Jonathan A. Parker
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A Cross Section of Equity Returns: The No-Arbitrage Test [PDF]
We propose a new test based on the no-arbitrage condition that compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors.
Michael R. Wickens +2 more
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Consumption, Size and Book-to-Market Ratio in Equity Returns [PDF]
This study extends the standard consumption-based capital asset pricing model (C-CAPM) to include two additional factors related to firm size (SMB) and book-to-market value ratio (HML).
Michael R. Wickens +2 more
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Optimal funding and investment strategies in defined contribution pension plans under Epstein-Zin utility [PDF]
, 2008 A defined contribution pension plan allows consumption to be redistributed from the plan member’s working life to retirement in a manner that is consistent with the member’s personal preferences.
Blake, D., Wright, I. D., Zhang, Y.
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An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors [PDF]
There are a number of tests and measures of the degree of integration in the literature. An example is the idea that integrated markets should provide rates of return that are highly correlated with one another and that a measure of correlation provides ...
M R Wickens, P N Smith, S Sorensen
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