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Rhee, S. Ghon; Wu, Feng - In: Journal of empirical finance 58 (2020), pp. 412-435

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Extreme downside risk and expected stock returns

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Multifactor consumption based asset pricing models using the US stock market as a reference : evidence from a panel of developed economies

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A multifactor consumption based asset pricing model of the UK stock market : the US stock market as a wealth reference

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Multifactor consumption based asset pricing models using the US stock market as a reference : evidence from a panel of developed economies

Hunter, John; Wu, Feng - 2010

Persistent link: https://www.econbiz.de/10008649203

Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference : Evidence from a Panel of Developed Economies

Hunter, John - 2014

In this paper we extend the time series analysis to the panel frame-work to test the C-CAPM driven by wealth references for developed countries. Speci fically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The...

Persistent link: https://www.econbiz.de/10013066509