Is consumption risk priced in the stock market?
Year of publication: |
2014
|
---|---|
Authors: | Semenov, Andrei |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 26.2014, p. 112-130
|
Subject: | Factor beta | Incomplete consumption insurance | Multifactor asset pricing model | Risk premium | Risikoprämie | Theorie | Theory | CAPM | Risiko | Risk | Privater Konsum | Private consumption | Schätzung | Estimation | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Konsum | Consumption |
-
Measuring the stock's factor beta and identifying risk factors under market inefficiency
Semenov, Andrei, (2021)
-
Business-cycle consumption risk and asset prices
Bandi, Federico M., (2020)
-
A class of tractable incomplete-market models for studying asset returns and risk exposure
Le Grand, François, (2018)
- More ...
-
Estimation of the consumption CAPM with imperfect sample separation information
Semenov, Andrei, (2008)
-
Risk factor beta conditional value-at-risk
Semenov, Andrei, (2009)
-
Disentangling risk aversionand intertemporal substitution through a reference level
Garcia, René, (2006)
- More ...