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  • Search: person:"Chapman, David A."
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Year of publication
Subject
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CAPM 10 Theorie 9 Theory 9 USA 7 United States 7 Capital income 6 Kapitaleinkommen 6 Risikoprämie 5 Risk premium 5 Estimation 4 Financial economics 4 Kapitalmarkttheorie 4 Schätzung 4 Capital market returns 3 Kapitalmarktrendite 3 Portfolio selection 3 Portfolio-Management 3 Risiko 3 Risk 3 Agent-based modeling 2 Agentenbasierte Modellierung 2 Allgemeines Gleichgewicht 2 Anlageverhalten 2 Behavioural finance 2 Börsenkurs 2 Disaster 2 Erwartungsnutzen 2 Estimation theory 2 Expected utility 2 Forecasting model 2 General equilibrium 2 Interest rate 2 Katastrophe 2 Nichtlineare Regression 2 Nonlinear regression 2 Prognoseverfahren 2 Real interest rate 2 Realzins 2 Risiko-Ertrags-Verhältnis 2 Risikomanagement 2
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Online availability
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Free 11 Undetermined 10
Type of publication
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Article 36 Book / Working Paper 23
Type of publication (narrower categories)
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Article in journal 16 Aufsatz in Zeitschrift 16 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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Undetermined 36 English 22 Spanish 1
Author
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Chapman, David A. 55 Pearson, Neil D. 13 Carlson, Murray 9 Brandt, Michael W. 6 Kaniel, Ron 5 Yan, Hong 5 Almazan, Andres 4 Brown, Keith C. 4 Polkovnichenko, Valery 4 Gallmeyer, Michael F. 3 Long, John B. 3 Chapman, David A 2 Ōgaki, Masao 2 Burfisher, Mary E. 1 CHAPMAN, DAVID A. 1 Chapman, Derek S. 1 Cooley, Thomas F. 1 Evans, Richard B. 1 Hinojosa-Ojeda, Raúl Andrés 1 John B. Long Jr. 1 Jones, David A. 1 Long Jr, John B. 1 Long Jr., John B 1 Martin, J. Spencer 1 Ogaki, Masao 1 POLKOVNICHENKO, VALERY 1 Pearson, Neil D 1 Robinson, Sherman 1 Schmidt, Joseph A. 1 Xu, Zhe 1 Yang, Chunyu 1
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Institution
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EconWPA 2 C.E.P.R. Discussion Papers 1 National Bureau of Economic Research 1
Published in...
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The journal of finance : the journal of the American Finance Association 6 Journal of Finance 3 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 2 Finance 2 Journal of financial economics 2 Journal of monetary economics 2 Review of economic dynamics 2 Review of finance : journal of the European Finance Association 2 The review of financial studies 2 AFA 2002 Atlanta Meetings 1 AFA 2009 San Francisco Meetings Paper 1 CEPR Discussion Papers 1 Discussion paper / Centre for Economic Policy Research 1 Econometrica 1 Economics Letters 1 Economics letters 1 El trimestre económico 1 Financial analysts' journal : FAJ 1 International review of finance 1 Journal of Financial Economics 1 Journal of Monetary Economics 1 Journal of business and psychology 1 NBER Working Paper 1 NBER working paper series 1 Review of Economic Dynamics 1 Review of Finance 1 Review of Financial Studies 1 Review of asset pricing studies 1 Rochester Center for Economic Research working paper 1 Sauder School of Business Working Paper 1 The quarterly journal of finance 1 Working paper / National Bureau of Economic Research, Inc 1 Working paper / National Bureau of Economic Research, Inc. 1
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Source
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ECONIS (ZBW) 36 RePEc 13 OLC EcoSci 10
Showing 1 - 10 of 59
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Household Responses to Social Security Policy Risk
Chapman, David A.; Gallmeyer, Michael F.; Yang, Chunyu - 2021
We examine the optimal consumption/saving and portfolio allocation responses of rational households subject to an exogenous change in the terms of the Social Security contract. Our analysis uses key features of the actual contract, an exogenous labor income process calibrated to IRS...
Persistent link: https://www.econbiz.de/10013210920
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Linear Approximations and Tests of Conditional Pricing Models
Brandt, Michael W. - 2017
If a nonlinear risk premium in a conditional asset pricing model is approximated with a linear function, as is commonly done in empirical research, the fitted model is misspecified. We use a generic reduced-form model economy with moderate risk premium nonlinearity to examine the size of the...
Persistent link: https://www.econbiz.de/10012706817
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Aggregate Tail Risk and Expected Returns
Chapman, David A. - 2016
We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected returns. In conditional predictive regression systems and vector-autoregressions of the market portfolio and the long- and shoresides of the Fama-French factor portfolios,...
Persistent link: https://www.econbiz.de/10013005673
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Linear approximations and tests of conditional pricing models
Brandt, Michael W.; Chapman, David A. - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 455-489
Persistent link: https://www.econbiz.de/10011990803
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Aggregate tail risk and expected returns
Chapman, David A.; Gallmeyer, Michael F.; Martin, J. Spencer - In: Review of asset pricing studies 8 (2018) 1, pp. 36-76
Persistent link: https://www.econbiz.de/10012001536
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Specification error, estimation risk, and conditional portfolio rules
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - In: International review of finance 17 (2017) 2, pp. 263-288
Persistent link: https://www.econbiz.de/10011807124
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Linear Approximations and Tests of Conditional Pricing Models
Brandt, Michael W. - 2010
We construct a simple reduced-form example of a conditional pricing model with modest intrinsic nonlinearity. The theoretical magnitude of the pricing errors (alphas) induced by the application of standard linear conditioning are derived as a direct consequence of an omitted variables bias. When...
Persistent link: https://www.econbiz.de/10012760649
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The Portfolio Choices of Young and Old Active Mutual Fund Managers
Chapman, David A. - 2010
We examine the optimal portfolio choices of young and old fund managers in a calibrated dynamic life-cyle model of the active manager's investment problem. The optimal policies of any manager depend on age, the wealth to labor income ratio, the value of the manager's private information, and...
Persistent link: https://www.econbiz.de/10012717147
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Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - C.E.P.R. Discussion Papers - 2015
We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. The advantage of this approach, relative to the existing...
Persistent link: https://www.econbiz.de/10011145396
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Asset return predictability in a heterogeneous agent equilibrium model
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - 2015
Persistent link: https://www.econbiz.de/10010482998
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