A Class of Models satisfying a Dynamical Version of the CAPM.

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

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Year of publication:	2003-06
Authors:	Napp, Clotilde ; Jouini, Elyès
Institutions:	Université Paris-Dauphine
Subject:	CCAPM \| Financial Markets \| Market beta \| Equilibrium \| CAPM

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Extent:	application/pdf
Series:	Open Access publications from Université Paris-Dauphine.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Economics Letters (2003-06) v.79, p.299-304
Classification:	D50 - General Equilibrium and Disequilibrium. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008532425