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This paper evaluates the ability of the multifactor model of Campbell <p> (1993, 1996) to explain time-series and cross-sectional patterns of <p> Danish stock and bond returns. The model is obtained by substituting <p> consumption out of the intertemporal budget constraint of the representative <p> agent in...</p></p></p></p>
Persistent link: https://www.econbiz.de/10005839373
US and UK stock returns are highly positively correlated over the period 1918-1999. Using VAR-based variance decompositions, we investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates, and excess returns. We find...
Persistent link: https://www.econbiz.de/10005750406