Similar Search Results

Narrow search

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy - 2012

Persistent link: https://www.econbiz.de/10009619941

Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment

Meinerding, Christoph - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10009624488

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

International financial market’s integration and modelling returns of risky assets

Hassene, Ben Mbarek - 2011

The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …

Persistent link: https://www.econbiz.de/10009711626

When do characteristics-sorted factors mechanically explain returns?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 25 (2013), pp. 119-143

Persistent link: https://www.econbiz.de/10009762798

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976