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Tests of the CAPM under struct...
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date (oldest first)
1
The conditional
CAPM
and the cross-section of expected returns
Jagannathan, Ravi
;
Wang, Zhenyu
-
1996
Persistent link: https://www.econbiz.de/10000588919
Saved in:
2
In search of risk premium : impirical evidence based on generalized consumption; beta model
Yamakawa, Tetsufumi
-
1989
Persistent link: https://www.econbiz.de/10000137860
Saved in:
3
Research design issues in the
estimation
of beta
Brailsford, Timothy J.
;
Faff, Robert W.
;
Oliver, Barry R.
-
1997
Persistent link: https://www.econbiz.de/10000963237
Saved in:
4
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
5
Conditional beta Capital Asset Pricing Model (
CAPM
) and duration dependence tests
Allen, David E.
;
Imbarine Bujang
-
2009
Persistent link: https://www.econbiz.de/10008667286
Saved in:
6
Asset pricing and default risk
Breig, Christoph
-
2011
Persistent link: https://www.econbiz.de/10008779050
Saved in:
7
Multivariate test of Sharpe-Lintner
CAPM
with time-varying beta
Wu, P.-S.
;
Chiou, Jer-shiou
- In:
Applied financial economics letters
3
(
2007
)
4/6
,
pp. 335-341
Persistent link: https://www.econbiz.de/10003605109
Saved in:
8
Risk and return : Consumption beta versus market beta
Mankiw, N. Gregory
;
Shapiro, Matthew D.
- In:
The review of economics and statistics
68
(
1986
)
3
,
pp. 452-459
Persistent link: https://www.econbiz.de/10003624721
Saved in:
9
Essays on financial economics and econometrics
Wu, Jin
-
2005
Persistent link: https://www.econbiz.de/10003384696
Saved in:
10
An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa
-
2003
Persistent link: https://www.econbiz.de/10003385465
Saved in:
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