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Evaluating asset pricing models using the second Hansen-Jagannathan distance

Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan - In: Journal of financial economics 97 (2010) 2, pp. 279-301

Persistent link: https://www.econbiz.de/10008648200

Loss aversion asset pricing model performance: Empirical evidence from five Pacific-Basin countries

Ng, David; Sadeghi, Mehdi - In: Asia Pacific financial markets in comparative …, (pp. 235-271). 2005

Persistent link: https://www.econbiz.de/10003283690

Testing international asset pricing models using implied costs of capital

Lee, Charles M. C.; Ng, David Tat-chee; Swaminathan, … - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 2, pp. 307-335

Persistent link: https://www.econbiz.de/10003865566

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - In: International tax and public finance 6 (1999) 4, pp. 597-620

Persistent link: https://www.econbiz.de/10001498560

The international CAPM when expected returns are time-varying

Ng, David Tat-chee - In: Journal of international money and finance 23 (2004) 2, pp. 189-230

Persistent link: https://www.econbiz.de/10001956994

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - 1999

Persistent link: https://www.econbiz.de/10001390241

Predicting market returns using aggregate implied cost of capital

Li, Yan; Ng, David Tat-chee; Swaminathan, Bhaskaran - In: Journal of financial economics 110 (2013) 2, pp. 419-436

Persistent link: https://www.econbiz.de/10010208662

Macroeconomic Risks and Asset Pricing : Evidence from a Dynamic Stochastic General Equilibrium Model

Li, Erica X. N. - 2018

We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time-series of four latent...

Persistent link: https://www.econbiz.de/10012933804

Macroeconomic risks and asset pricing : evidence from a dynamic stochastic general equilibrium model

Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3585-3604

Persistent link: https://www.econbiz.de/10012062716

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776