Auer, Benjamin R. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 5, pp. 518-544
Using a new dataset for the German market, this article analyses whether modeling time-varying stochastic discount factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can help to explain the cross-section of book-to-market, size...