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Persistent link: https://www.econbiz.de/10010233331

Augmenting the intertemporal CAPM with inflation : further evidence from alternative models

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Augmenting the Intertemporal CAPM with Inflation : Further Evidence from Alternative Models

Shi, Qi; Li, Bin; Cheung, Adrian (Wai‐Kong); Chung, … - 2020

Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn...

Persistent link: https://www.econbiz.de/10014098402

The cross section of expected returns and amortized spreads

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Cost of equity for Canadian and US sectors

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Are idiosyncratic volatility and MAX priced in the Canadian market?

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