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There are 8606 results for: content related to: Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach

  1. The Capital Budgeting Process: Incentives and Information

    The Journal of Finance

    Volume 51, Issue 4, September 1996, Pages: 1139–1174, MILTON HARRIS and ARTUR RAVIV

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1996.tb04065.x

  2. Insider Trading around Dividend Announcements: Theory and Evidence

    The Journal of Finance

    Volume 46, Issue 4, September 1991, Pages: 1361–1389, KOSE JOHN and LARRY H. P. LANG

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb04621.x

  3. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion

    The Journal of Finance

    Volume 57, Issue 5, October 2002, Pages: 2075–2112, Yacine Aït-Sahalia

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00489

  4. General Tests of Latent Variable Models and Mean-Variance Spanning

    The Journal of Finance

    Volume 48, Issue 1, March 1993, Pages: 131–156, WAYNE E. FERSON, STEPHEN R. FOERSTER and DONALD B. KEIM

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04704.x

  5. Covenants and Collateral as Incentives to Monitor

    The Journal of Finance

    Volume 50, Issue 4, September 1995, Pages: 1113–1146, RAGHURAM RAJAN and ANDREW WINTON

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1995.tb04052.x

  6. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

    The Journal of Finance

    Volume 48, Issue 1, March 1993, Pages: 3–37, JOHN Y. CAMPBELL and JOHN AMMER

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04700.x

  7. No Arbitrage and Arbitrage Pricing: A New Approach

    The Journal of Finance

    Volume 48, Issue 4, September 1993, Pages: 1231–1262, RAVI BANSAL and S. VISWANATHAN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04753.x

  8. Stock Markets, Growth, and Tax Policy

    The Journal of Finance

    Volume 46, Issue 4, September 1991, Pages: 1445–1465, ROSS LEVINE

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb04625.x

  9. Range-Based Estimation of Stochastic Volatility Models

    The Journal of Finance

    Volume 57, Issue 3, June 2002, Pages: 1047–1091, Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00454

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    A Simple Model of Capital Market Equilibrium with Incomplete Information

    The Journal of Finance

    Volume 42, Issue 3, July 1987, Pages: 483–510, ROBERT C. MERTON

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1987.tb04565.x

  11. Term Structure of Interest Rates with Regime Shifts

    The Journal of Finance

    Volume 57, Issue 5, October 2002, Pages: 1997–2043, Ravi Bansal and Hao Zhou

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00487

  12. An Empirical Investigation of Continuous-Time Equity Return Models

    The Journal of Finance

    Volume 57, Issue 3, June 2002, Pages: 1239–1284, Torben G. Andersen, Luca Benzoni and Jesper Lund

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00460

  13. Assessing Specification Errors in Stochastic Discount Factor Models

    The Journal of Finance

    Volume 52, Issue 2, June 1997, Pages: 557–590, LARS PETER HANSEN and RAVI JAGANNATHAN

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb04813.x

  14. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

    The Journal of Finance

    Volume 57, Issue 4, August 2002, Pages: 1685–1730, Pierre Collin-Dufresne and Robert S. Goldstein

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00475

  15. Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

    The Journal of Finance

    Volume 43, Issue 3, July 1988, Pages: 639–656, KENNETH D. WEST

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1988.tb04596.x

  16. Disclosure, Liquidity, and the Cost of Capital

    The Journal of Finance

    Volume 46, Issue 4, September 1991, Pages: 1325–1359, DOUGLAS W. DIAMOND and ROBERT E. VERRECCHIA

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb04620.x

  17. Testing the CAPM with Time-Varying Risks and Returns

    The Journal of Finance

    Volume 46, Issue 4, September 1991, Pages: 1485–1505, JAMES N. BODURTHA JR. and NELSON C. MARK

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb04627.x

  18. The Term Structure of Interest Rates in a Partially Observable Economy

    The Journal of Finance

    Volume 44, Issue 3, July 1989, Pages: 789–812, DAVID FELDMAN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1989.tb04391.x

  19. Learning, Asset-Pricing Tests, and Market Efficiency

    The Journal of Finance

    Volume 57, Issue 3, June 2002, Pages: 1113–1145, Jonathan Lewellen and Jay Shanken

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00456

  20. Momentum, Business Cycle, and Time-varying Expected Returns

    The Journal of Finance

    Volume 57, Issue 2, April 2002, Pages: 985–1019, Tarun Chordia and Lakshmanan Shivakumar

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00449