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What do the Fama-French Factors add to C-CAPM?
Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013 - Revised March 2013
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB...
Persistent link: https://www.econbiz.de/10009731215
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Consumption, size and book-to-market ratio in equity returns
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011
Persistent link: https://www.econbiz.de/10009381289
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A cross section of equity returns : the no-arbitrage test
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011
Persistent link: https://www.econbiz.de/10009381294
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The asymmetric effect of the business cycle on the equity premium
Smith, Peter N. (contributor); Sorensen, Steffen (contributor) - 2007
Persistent link: https://www.econbiz.de/10003466750
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The asymmetric effect of the business sycle on the relation between stock market returns and their volatility
Smith, Peter N. (contributor); Sorensen, S. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003265956
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An asset market integration test based on observable macroeconomic stochastic discount factors
Smith, Peter N. (contributor); Sorensen, S. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001837653
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Macroeconomic sources of equity risk
Smith, Peter N. (contributor); Sorensen, S. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001837657
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Asset pricing with observable stochastic discount factors
Smith, Peter N. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001653785
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How did we get to where we are now? : reflections on 50 years of macroeconomic and financial econometrics
Wickens, Michael R. - 2014
Persistent link: https://www.econbiz.de/10010411299
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Testing a DSGE model of the EU using indirect inference
Meenagh, David (contributor); Minford, Patrick (contributor) - 2008
We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data. We find that their model generates excessive variance compared with the data. But their model fits the dynamic facts quite well if...
Persistent link: https://www.econbiz.de/10003739572