Similar Search Results

Asset pricing with observable stochastic discount factors

Smith, Peter; Wickens, Michael R. - In: Journal of economic surveys 16 (2002) 3, pp. 397-446

Persistent link: https://www.econbiz.de/10001686269

The asymmetric effect of the business cycle on the equity premium

Smith, Peter N. (contributor); Sorensen, Steffen (contributor) - 2007

Persistent link: https://www.econbiz.de/10003466750

Consumption, size and book-to-market ratio in equity returns

Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011

Persistent link: https://www.econbiz.de/10009381289

A cross section of equity returns : the no-arbitrage test

Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011

Persistent link: https://www.econbiz.de/10009381294

What do the Fama-French factors add to C-CAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - In: Journal of empirical finance 22 (2013), pp. 113-127

Persistent link: https://www.econbiz.de/10009768417

What do the Fama-French factors add to CCAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013

Persistent link: https://www.econbiz.de/10009744151

Durable consumption, long-run risk and the equity premium

Guo, Na; Smith, Peter N. - 2012

Persistent link: https://www.econbiz.de/10009728052

What do the Fama-French Factors add to C-CAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013 - Revised March 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB...

Persistent link: https://www.econbiz.de/10009731215

Macroeconomic sources of FOREX risk

Wickens, Michael R. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001613840

Macroeconomic sources of equity risk

Smith, Peter N. (contributor); Sorensen, S. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001837657