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There are 13795 results for: content related to: Explaining the Poor Performance of Consumption-based Asset Pricing Models

  1. Land of addicts? an empirical investigation of habit-based asset pricing models

    Journal of Applied Econometrics

    Volume 24, Issue 7, November/December 2009, Pages: 1057–1093, Xiaohong Chen and Sydney C. Ludvigson

    Article first published online : 11 AUG 2009, DOI: 10.1002/jae.1091

  2. Idiosyncratic Consumption Risk and the Cross Section of Asset Returns

    The Journal of Finance

    Volume 59, Issue 5, October 2004, Pages: 2211–2252, KRIS JACOBS and KEVIN Q. WANG

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6261.2004.00697.x

  3. CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK*

    The Manchester School

    Volume 73, Issue 3, June 2005, Pages: 343–363, STUART HYDE and MOHAMED SHERIF

    Article first published online : 23 MAY 2005, DOI: 10.1111/j.1467-9957.2005.00450.x

  4. Comparing Consumption–Based Asset–Pricing models

    Canadian Journal of Economics/Revue canadienne d'économique

    Volume 35, Issue 3, August 2002, Pages: 586–610, Stephen Gordon and Lucie Samson

    Article first published online : 7 JAN 2003, DOI: 10.1111/1540-5982.00147

  5. An Intertemporal Capital Asset Pricing Model with Owner-Occupied Housing

    Real Estate Economics

    Volume 38, Issue 3, Fall 2010, Pages: 427–465, Yongqiang Chu

    Article first published online : 11 JUN 2010, DOI: 10.1111/j.1540-6229.2010.00272.x

  6. Cross-Sectional Tests of Multifactor CCAPMs using Conditional Moments and Time-Series Restrictions

    Asia-Pacific Journal of Financial Studies

    Volume 38, Issue 5, October 2009, Pages: 695–722, Jinyong Kim

    Article first published online : 22 MAR 2010, DOI: 10.1111/j.2041-6156.2009.tb00027.x

  7. Evaluating the consumption-capital asset pricing model using Hansen–Jagannathan bounds: evidence from the UK

    International Journal of Finance & Economics

    Volume 3, Issue 4, October 1998, Pages: 291–302, Tom Engsted

    Article first published online : 21 DEC 1998, DOI: 10.1002/(SICI)1099-1158(199810)3:4<291::AID-IJFE87>3.0.CO;2-U

  8. Measures of Fit for Rational Expectations Models

    Journal of Economic Surveys

    Volume 16, Issue 3, July 2002, Pages: 301–355, Tom Engsted

    Article first published online : 16 DEC 2002, DOI: 10.1111/1467-6419.00171

  9. Seasonality and Consumption-Based Asset Pricing

    The Journal of Finance

    Volume 47, Issue 2, June 1992, Pages: 511–552, WAYNE E. FERSON and CAMPBELL R. HARVEY

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1992.tb04400.x

  10. LAPM: A Liquidity-Based Asset Pricing Model

    The Journal of Finance

    Volume 56, Issue 5, October 2001, Pages: 1837–1867, Bengt Holmström and Jean Tirole

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00391

  11. Can Asset Pricing Models Price Idiosyncratic Risk in U.K. Stock Returns?

    Financial Review

    Volume 42, Issue 4, November 2007, Pages: 507–535, Jonathan Fletcher

    Article first published online : 16 NOV 2007, DOI: 10.1111/j.1540-6288.2007.00181.x

  12. THE EQUITY PREMIUM AND RISK-FREE RATE PUZZLES IN A TURBULENT ECONOMY: EVIDENCE FROM 105 YEARS OF DATA FROM SOUTH AFRICA

    South African Journal of Economics

    Volume 78, Issue 1, March 2010, Pages: 23–39, Shakill Hassan and Andrew Van Biljon

    Article first published online : 8 MAR 2010, DOI: 10.1111/j.1813-6982.2010.01237.x

  13. You have free access to this content
    Presidential Address: Discount Rates

    The Journal of Finance

    Volume 66, Issue 4, August 2011, Pages: 1047–1108, JOHN H. COCHRANE

    Article first published online : 19 JUL 2011, DOI: 10.1111/j.1540-6261.2011.01671.x

  14. Estimation and Evaluation of Conditional Asset Pricing Models

    The Journal of Finance

    Volume 66, Issue 3, June 2011, Pages: 873–909, STEFAN NAGEL and KENNETH J. SINGLETON

    Article first published online : 23 MAY 2011, DOI: 10.1111/j.1540-6261.2011.01654.x

  15. Disasters Implied by Equity Index Options

    The Journal of Finance

    Volume 66, Issue 6, December 2011, Pages: 1969–2012, DAVID BACKUS, MIKHAIL CHERNOV and IAN MARTIN

    Article first published online : 14 NOV 2011, DOI: 10.1111/j.1540-6261.2011.01697.x

  16. Asset Pricing at the Millennium

    The Journal of Finance

    Volume 55, Issue 4, August 2000, Pages: 1515–1567, John Y. Campbell

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00260

  17. Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?

    The Journal of Finance

    Volume 54, Issue 1, February 1999, Pages: 123–163, Kris Jacobs

    Article first published online : 6 MAY 2003, DOI: 10.1111/0022-1082.00100

  18. Resuscitating the C-CAPM: empirical evidence from France and Germany

    International Journal of Finance & Economics

    Volume 10, Issue 4, October 2005, Pages: 337–357, Stuart Hyde, Keith Cuthbertson and Dirk Nitzsche

    Article first published online : 3 OCT 2005, DOI: 10.1002/ijfe.282

  19. Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

    The Journal of Finance

    Volume 46, Issue 1, March 1991, Pages: 209–237, JOHN H. COCHRANE

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb03750.x

  20. Risk Premia and Variance Bounds

    The Journal of Finance

    Volume 52, Issue 5, December 1997, Pages: 1913–1949, PIERLUIGI BALDUZZI and HÉDI KALLAL

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb02746.x