Results 41 to 50 of about 96,490 (163)
An analysis of spending behaviour under liquidity constraints with an application to financial hedging [PDF]
, 2007 Imperial Users ...
Takin, Ramin, Takin, Ramin
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Capital Controls, The Dual Exchange Rate, and Devaluation [PDF]
This paper re-examines the effect of devaluation under capital-account restrictions, adding to traditional formulations the seemingly minor (but realistic) assumption that central-bank reserves earn interest.
Maurice Obstfeld
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Dynamic Allocation and Pricing in Incomplete Markets: A Survey [PDF]
This paper surveys the recent development of empirical and theoretical researches on incomplete markets, pointing out the following aspects. First, the theoretical study in this field is motivated by empirical findings of both asset pricing anomalies and
Saito, Makoto
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C-CAPM without Ex Post Data [PDF]
Survey and option data are used to take a fresh look at the equity premium puzzle. Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data suggests that investors perhaps
Paul Söderlind
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Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2011 Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on
Hunter, J, Wu, F
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A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan
, 2016 Chikashi Tsuji
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The mean, co-variability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation.
George M. Constantinides
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Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns [PDF]
This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption.
Grammig, Joachim G., Schrimpf, Andreas
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Asset Returns and Economic Risk [PDF]
, 2002 The capital asset pricing model (CAPM), favored by financial researchers and practitioners fifteen years ago, holds that the extra return on a risky asset comes from bearing market risk only.
Robotti, C
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An entropic approach to equity market integration and consumption-based capital asset pricing models
, 1998 Teng‐Tsai Tu
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