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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10013233142

Asset Pricing with Unknown Consumption and Financial Risk

Gvozdeva, Evgenia - 2011

Do parameter uncertainties regarding different risk factors have symmetric effects on asset prices? In a general equilibrium setting where uncertainties regarding consumption and portfolio returns are of concern to investors but all the structural parameters of consumption and dividend growth...

Persistent link: https://www.econbiz.de/10013128507

What does the cross-section tell about itself? : explaining equity risk premia with stock return moments

Cooper, Ilan; Ma, Liang; Maio, Paulo - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 73-118

Persistent link: https://www.econbiz.de/10012819566

Pricing the hedging factor in the cross-section of stock returns

Dunbar, Kwamie - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012821473

Asset pricing with idiosyncratic risk : the Spanish case

Miralles Marcelo, José Luis; Miralles-Quirós, María … - In: International review of economics & finance : IREF 21 (2012) 1, pp. 261-271

Persistent link: https://www.econbiz.de/10009486123

Inattention, wealth inequality and equilibrium asset prices

Finocchiaro, Daria - In: Journal of monetary economics 58 (2011) 2, pp. 146-155

Persistent link: https://www.econbiz.de/10009245167

Dividend sensitivity to economic factors, stock valuation, and long-run risk

Bergeron, Claude - In: Finance research letters 10 (2013) 4, pp. 184-195

Persistent link: https://www.econbiz.de/10010252342

Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?

Elmiger, Sabine - 2013

Persistent link: https://www.econbiz.de/10010256374

Test of the Fama-French three-factor model in Crotia

Dolinar, Denis - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 101-112

comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …

Persistent link: https://www.econbiz.de/10009787020

Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs

Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014

In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...

Persistent link: https://www.econbiz.de/10010250161