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Learning, Regime Switches, and Equilibrium Asset Pricing Dynamics
Moore, Bartholomew; Schaller, Huntley - Department of Economics, Rutgers University-New Brunswick - 1997
Persistent link: https://www.econbiz.de/10005839078
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Irreversible investment and costs of adjustment
Demers, Fanny S.; Demers, Michel; Schaller, Huntley - Centre pour la Recherche Économique et ses … - 1994
Persistent link: https://www.econbiz.de/10005100001
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The Macroeconomic Effects of Infrequent Information With Adjustment Costs
Bonomo, Marco Antônio Cesar; Garcia, René - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2000
Persistent link: https://www.econbiz.de/10005009210
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Tests of conditional asset pricing models in the Brazilian stock market
Bonomo, Marco Antônio Cesar; Garcia, René - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 1999
In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor...
Persistent link: https://www.econbiz.de/10005009257