Engsted, Tom; Mammen, Enno; Tanggaard, Carsten - Ehrvervøkonomisk Institut, Institut for Økonomi - 2000
We investigate the C-CAPM and the equity premium puzzle using asset returns and consumption data from the US and Denmark. In contrast to previous studies the investigation is carried out with both short and long investment horizons. In addition, we introduce a Markovian bootstrap approach to...