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~person:"Hommes, Cars H."
~person:"Rubio, Gonzalo"
~person:"Shanken, Jay"
~subject:"CAPM"
~subject:"Risk premium"
~type_genre:"Article in journal"
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Search: subject_exact:"Capital asset pricing model"
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Risk premium
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Hommes, Cars H.
Rubio, Gonzalo
Shanken, Jay
Zaremba, Adam
66
Jarrow, Robert A.
34
Faff, Robert W.
32
Cakici, Nusret
31
Madan, Dilip B.
28
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27
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26
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25
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23
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23
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22
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22
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21
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20
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19
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19
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19
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18
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18
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17
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17
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16
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16
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16
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15
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15
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15
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15
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15
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14
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14
He, Xue-zhong
14
Hung, Mao-Wei
14
Jagannathan, Ravi
14
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14
Longstaff, Francis A.
14
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14
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Journal of economic dynamics & control
7
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6
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5
International review of economics & finance : IREF
3
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3
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3
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2
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2
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2
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ECONIS (ZBW)
48
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1
The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia : an international perspective
Nieto Domenech, Belen
;
Rubio, Gonzalo
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-29
Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the...
Persistent link: https://www.econbiz.de/10012813368
Saved in:
2
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
Abad Díaz, David
;
Nieto Domenech, Belen
;
Pascual, Roberto
- In:
International review of financial analysis
87
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014460538
Saved in:
3
Are long-horizon expectations (de-)stabilizing? : theory and experiments
Evans, George W.
;
Hommes, Cars H.
;
McGough, Bruce
; …
- In:
Journal of monetary economics
132
(
2022
),
pp. 44-63
Persistent link: https://www.econbiz.de/10013489665
Saved in:
4
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto, Belén
;
Rubio, Gonzalo
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500183
Saved in:
5
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto Domenech, Belen
;
Rubio, …
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
Saved in:
6
Coordination on bubbles in large-group asset pricing experiments
Te, Bao
;
Hennequin, Myrna
;
Hommes, Cars H.
;
Massaro, …
- In:
Journal of economic dynamics & control
110
(
2020
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012501309
Saved in:
7
Which alpha?
Barillas, Francisco
;
Shanken, Jay
- In:
The review of financial studies
30
(
2017
)
4
,
pp. 1316-1338
Persistent link: https://www.econbiz.de/10011749378
Saved in:
8
Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.
;
Veld, Daan in 't
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 101-124
Persistent link: https://www.econbiz.de/10011817632
Saved in:
9
Path dependent coordination of expectations in asset pricing experiments : a behavioral explanation
Agliari, Anna
;
Hommes, Cars H.
;
Pecora, Nicolò
- In:
Journal of economic behavior & organization : JEBO
121
(
2016
),
pp. 15-28
Persistent link: https://www.econbiz.de/10011583782
Saved in:
10
The cross-sectional variation of volatility risk premia
González-Urteaga, Ana
;
Rubio, Gonzalo
- In:
Journal of financial economics
119
(
2016
)
2
,
pp. 353-370
Persistent link: https://www.econbiz.de/10011589865
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