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The equity premium and the risk free rate : matching the moments

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1991

Persistent link: https://www.econbiz.de/10000817539

Testing the CAPM with time-varying risks and returns

Bodurtha, James N. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1485-1505

Persistent link: https://www.econbiz.de/10001112558

The equity premium and the risk-free rate : matching the moments

Cecchetti, Stephen G. - In: Journal of monetary economics 31 (1993) 1, pp. 21-45

Persistent link: https://www.econbiz.de/10001140293

Asset pricing with distorted beliefs : are equity returns too good to be true?

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - In: The American economic review 90 (2000) 4, pp. 787-805

Persistent link: https://www.econbiz.de/10001521099

Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1992

Persistent link: https://www.econbiz.de/10000843094

Asset pricing with distorted beliefs : are equity returns too good to be true?

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1998

Persistent link: https://www.econbiz.de/10000652227

Global Macro Risks in Currency Excess Returns

Berg, Kimberly - 2017

We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global...

Persistent link: https://www.econbiz.de/10012948089

Asset pricing with distorted beliefs : are equity returns too good to be true?

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1997

Persistent link: https://www.econbiz.de/10000959246

Measures of global uncertainty and carry-trade excess returns

Berg, Kimberly A.; Mark, Nelson C. - In: Journal of international money and finance 88 (2018), pp. 212-227

Persistent link: https://www.econbiz.de/10012000890

Global macro risks in currency excess returns

Berg, Kimberly A.; Mark, Nelson C. - 2016

We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that...

Persistent link: https://www.econbiz.de/10011517046