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Asset pricing without garbage : conference paper
Kroencke, Tim-Alexander - 2014
This paper provides an explanation why garbage as a measure of consumption implies a several times lower coefficient of … Product Accounts (NIPA): Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a structural … model of the filtering process, which allows to revoke the filter inherent in NIPA consumption. Unfiltered NIPA consumption …
Persistent link: https://www.econbiz.de/10010486748
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Asset pricing without garbage
Kroencke, Tim-Alexander - 2013
This paper provides an explanation why garbage as a measure of consumption implies a several times lower coefficient of … Product Accounts (NIPA): Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a structural … model of the filtering process, which allows to revoke the filter inherent in NIPA consumption. "Unfiltered NIPA consumption …
Persistent link: https://www.econbiz.de/10010128712
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Street-smart asset pricing
Asthana, Vinay - In: Applied financial economics 23 (2013) 16/18, pp. 1371-1381
Persistent link: https://www.econbiz.de/10010259428
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Asset pricing with garbage
Savov, Alexi - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 177-201
Persistent link: https://www.econbiz.de/10008991180
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Household consumption smoothing through equity investment in the USA and Japan : an empirical examination of the consumption-capital asset pricing model (C-CAPM)
Setiawan, Kusdhianto - In: International journal of economics and business research 7 (2014) 1, pp. 72-103
Persistent link: https://www.econbiz.de/10010351549
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Risk aversion versus intertemporal substitution: a case study of identification failure in the intertemporal consumption capital asset pricing model
Neely, Christopher J.; Roy, Amlan; Whiteman, Charles H. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 395-403
Persistent link: https://www.econbiz.de/10001646350
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The stochastic implications of permanent income hypothesis for US speculative traders : implications for consumption-based asset pricing
Senarathne, Chamil W.; Wei, Jianguo - In: Croatian economic survey 20 (2018) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10012002109
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Liquidity constraints versus loss aversion in household consumption : a simple reconciliation
Treeck, Till van - 2010
Arbeit wird anhand eines einheitlichen Datensatzes für die USA zu privaten Konsumausgaben, Einkommen und Vermögen für den … USA bis zum Ausbruch der Finanzkrise im Jahr 2007 interpretiert werden. …
Persistent link: https://www.econbiz.de/10009306633
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Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence
Gregory, Allan W.; Lamarche, Jean-François; Smith, … - In: Journal of econometrics 107 (2002) 1/2, pp. 213-233
Persistent link: https://www.econbiz.de/10001651284
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Macroeconomic tail risks and asset prices
Schreindorfer, David - In: The review of financial studies 33 (2020) 8, pp. 3541-3582
Persistent link: https://www.econbiz.de/10012249741