Keywords
Affiliated Institutions
Related Publications
A Capital Asset Pricing Model with Time-Varying Covariances
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is p...
Is the ex ante risk premium always positive?
This paper develops tests of inequality restrictions implied by conditional asset pricing models. The methodology is easy to implement, requires little knowledge of the conditio...
The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the pu...
An Intertemporal Capital Asset Pricing Model
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility o...
Publication Info
- Year
- 2019
- Type
- book-chapter
- Pages
- 3-12
- Citations
- 25
- Access
- Closed
External Links
Social Impact
Social media, news, blog, policy document mentions
Citation Metrics
Cite This
Identifiers
- DOI
- 10.1142/9789814759618_0001