From which consumption-based asset pricing models can investors profit? : evidence from model-based priors
Year of publication: |
2022
|
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Authors: | Kruttli, Mathias S. |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 3, p. 539-567
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Subject: | return predictability | consumption-based asset pricing | Bayesian econometrics | CAPM | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Privater Konsum | Private consumption | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Schätzung | Estimation |
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