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Measuring market and inflation risk premia in France and in Germany
Cappiello, Lorenzo; Guéné, Stéphane - 2005
This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our study also allows us to evaluate how the different...
Persistent link: https://www.econbiz.de/10011604482
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Multifactor models and their consistency with the ICAPM
Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial economics 106 (2012) 3, pp. 586-613
Persistent link: https://www.econbiz.de/10009710158
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Return decomposition and the Intertemporal CAPM
Maio, Paulo - In: Journal of banking & finance 37 (2013) 12, pp. 4958-4972
Persistent link: https://www.econbiz.de/10010341875
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Macro variables and the components of stock returns
Maio, Paulo; Philip, Dennis - In: Journal of empirical finance 33 (2015), pp. 287-308
Persistent link: https://www.econbiz.de/10011556888
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Risk–return trade-off in the pacific basin equity markets
Cheng, Ai-ru; Jahan-Parvar, Mohammad R. - In: Emerging markets review 18 (2014), pp. 123-140
Persistent link: https://www.econbiz.de/10010418078
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The q5 model and its consistency with the intertemporal CAPM
Lin, Qi - In: Journal of banking & finance 127 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012820950
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The short duration premium
Gonçalves, Andrei S. - In: Journal of financial economics 141 (2021) 3, pp. 919-945
Persistent link: https://www.econbiz.de/10012873075
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Appropriate expected return and the relationship with risk
Panutat Maneemaroj; Ravi Lonkani; Chanon Chingchayanurak - In: Global business review 22 (2021) 4, pp. 865-878
Persistent link: https://www.econbiz.de/10012591567
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ICAPM and the accruals anomaly
Guo, Hui; Maio, Paulo - In: The quarterly journal of finance 10 (2020) 3, pp. 1-48
Persistent link: https://www.econbiz.de/10012627377
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Are the profitability and investment factors valid ICAPM risk factors? : pre-1963 evidence
Lin, Qi; Lin, Xi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013186489