Auer, Benjamin - In: Applied Financial Economics 21 (2011) 17, pp. 1273-1279
Using the parametric Generalized Method of Moments (GMM) methodology of Hansen (1982) and the nonparametric approach of Hansen and Jagannathan (1991), this note investigates the ability of Consumption-based Asset Pricing Models (CCAPMs) to explain the cross-section of investment funds returns in...