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Time-varying risk and return in the bond market : a test of a new equilibrium pricing model

Campbell, Cynthia J.; Kazemi, Hossein; Nanisetty, Prasad - In: The review of financial studies 12 (1999) 3, pp. 631-642

Persistent link: https://www.econbiz.de/10001421850

Time-Varying Risk and Return in the Bond Market : A Test of a New Equilibrium Pricing Model

Campbell, Cynthia J. - 1999

This article uses bond market data to empirically test the asset pricing model of Kazemi (1992). According to this model the rate of return on a long-term, pure-discount, default-free bond will be perfectly correlated with changes in the marginal utility of the representative investor. The...

Persistent link: https://www.econbiz.de/10012789717

Dynamic gap transformations: Are banks asset - transformers or brokers? or both?

Bharati, Rakesh; Nanisetty, Prasad; So, Jacky C. - In: The quarterly review of economics and finance : journal … 46 (2006) 1, pp. 36-52

Persistent link: https://www.econbiz.de/10003305632

Evaluating stock price behavior after events : an application of the self-exciting threshold autoregressive model

Bharati, Rakesh; Crain, Susan J.; Nanisetty, Prasad - In: Quarterly journal of finance & accounting : QJFA 48 (2009) 2, pp. 23-43

Persistent link: https://www.econbiz.de/10003879125

The effect of time-varying covariances on asset risk premia : a test of an intertemporal CAPM

Nanisetty, Prasad; Bharati, Rakesh; Gupta, Manoj - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 205-220

Persistent link: https://www.econbiz.de/10001467560

Are dividends smoothed signals of earnings asymmetry? : An empirical investigation

Bharati, Rakesh - In: International journal of business 3 (1998) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10001250165

Dynamic gap transformations: Are banks asset - transformers or brokers? or both?

Bharati, Rakesh; Nanisetty, Prasad; So, Jacky - In: The Quarterly Review of Economics and Finance 46 (2006) 1, pp. 36-52

Persistent link: https://www.econbiz.de/10005378628

Evaluating Stock Price Behavior after Events: An Application of the Self-Exciting Threshold Autoregressive Model

Bharati, Rakesh; Crain, Susan J.; Nanisetty, Prasad - In: Quarterly journal of finance & accounting : QJFA 48 (2009) 2, pp. 23-44

Persistent link: https://www.econbiz.de/10008352253

The Effect of Time-Varying Covariances on Asset Risk Premia: A Test of an Intertemporal CAPM

Nanisetty, Prasad; Bharati, Rakesh; Gupta, Manoj - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 205

Persistent link: https://www.econbiz.de/10007205453

Dynamic gap transformations: Are banks asset – transformers or brokers? or both?

Bharati, Rakesh; Nanisetty, Prasad; So, Jacky - In: The quarterly review of economics and finance : journal … 46 (2006) 1, pp. 36-52

Persistent link: https://www.econbiz.de/10007634832

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