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The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
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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...
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comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …
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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...
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