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Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …

Persistent link: https://www.econbiz.de/10012199998

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 45 (2021) 3, pp. 413-427

Persistent link: https://www.econbiz.de/10012547070

Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

Caporale, Guglielmo Maria - 2015

We use a representative consumer model to analyse the relation between the transitory deviations of consumption from … allow consumption to rise when they expect a rise in future housing returns. By contrast, if housing assets are treated as … substitutes for financial assets, consumption will be reduced …

Persistent link: https://www.econbiz.de/10013026047

Consumption, wealth, stock and housing returns : evidence from emerging markets

Caporale, Guglielmo Maria; Sousa, Ricardo M. - In: Research in international business and finance 36 (2016), pp. 562-578

Persistent link: https://www.econbiz.de/10011594626

Persistence in the realized betas : some evidence for the Spanish stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

Persistent link: https://www.econbiz.de/10012194334

Persistence in the Market Risk Premium : Evidence Across Countries

Caporale, Guglielmo Maria - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …

Persistent link: https://www.econbiz.de/10012836946

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10013011750

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

Persistent link: https://www.econbiz.de/10013009868

Consumption, Wealth, Stock and Housing Returns : Evidence from Emerging Markets

Caporale, Guglielmo Maria; Sousa, Ricardo M. - 2011

consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for … temporarily allow consumption to rise. Regarding housing returns, if housing assets are complementary to stocks, then investors … their consumption …

Persistent link: https://www.econbiz.de/10014176822

Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries

Caporale, Guglielmo Maria; Sousa, Ricardo M. - 2011

deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for … future stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing … substitutes consumption will be temporarily reduced …

Persistent link: https://www.econbiz.de/10014176823