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GMM and present value tests of the C-CAPM : some evidence from the Danish, German, Swedish, and UK stock markets
Lund, Jesper; Engsted, Tom - 1993
Persistent link: https://www.econbiz.de/10000880721
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GMM and present value tests of the C-CAPM : evidence from the Danish, German, Swedish and UK stock markets
Lund, Jesper - In: Journal of international money and finance 15 (1996) 4, pp. 497-521
Persistent link: https://www.econbiz.de/10001208829
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Common stochastic trends in international stock prices and dividends : an example of testing overidentifying restrictions on multiple cointegration vectors
Engsted, Tom - In: Applied financial economics 7 (1997) 6, pp. 659-665
Persistent link: https://www.econbiz.de/10001240790
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Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors
Engsted, Tom; Lund, Jesper - In: Applied Financial Economics 7 (1997) 6, pp. 659-665
Based on a cointegrated VAR model, a joint test of the within-country and crosscountry low-frequency implications of the present value model of stock prices is derived and applied to postwar annual stock market data from four European countries. Following Johansen (1995) and Johansen and...
Persistent link: https://www.econbiz.de/10009224109
Cover Image
GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets
Lund, Jesper; Engsted, Tom - In: Journal of International Money and Finance 15 (1996) 4, pp. 497-521
Persistent link: https://www.econbiz.de/10005339228
Cover Image
GMM and present value tests of the C-CAPM: Evidence from the Danish, German, Swedish and UK stock markets
Lund, Jesper; Engsted, Tom - In: Journal of international money and finance 15 (1996) 4, pp. 497-522
Persistent link: https://www.econbiz.de/10006932626