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W-MPS Risk Aversion and the Shadow CAPM : Theory and Empirical Evidence

Huang, Lin - 2016

This paper presents the shadow Capital Asset Pricing Model (CAPM) of Ma (2011a) as an intertemporal equilibrium asset pricing model, and tests it empirically. In contrast to the classical CAPM - a single factor model based on a strong behavioral or distributional assumption, the shadow CAPM can...

Persistent link: https://www.econbiz.de/10012982842

Exchange risk and asset returns : a theoretical and empirical study of an open economy asset pricing model

Huang, Lin; Wu, Jia; Zhang, Rui - In: Emerging markets review 21 (2014), pp. 96-116

Persistent link: https://www.econbiz.de/10011304335

Modelling exchange of probabilistic opinions

Nakata, Hiroyuki - In: Economic theory : official journal of the Society for … 21 (2003) 2/3, pp. 697-727

Persistent link: https://www.econbiz.de/10001732964

Informative advertising with spillover effects

Nakata, Hiroyuki - In: International journal of economic theory 7 (2011) 4, pp. 373-386

Persistent link: https://www.econbiz.de/10009389087

Welfare effects of short-sale constraints under heterogeneous beliefs

Nakata, Hiroyuki - In: Economic theory : official journal of the Society for … 53 (2013) 2, pp. 283-314

Persistent link: https://www.econbiz.de/10009752720

Communication, correlation of beliefs and asset price fluctuations

Nakata, Hiroyuki - In: Rivista internazionale di scienze sociali 115 (2007) 3, pp. 443-469

Persistent link: https://www.econbiz.de/10003723858

A Model of financial markets with endogenously correlated rational beliefs

Nakata, Hiroyuki - In: Economic theory : official journal of the Society for … 30 (2007) 3, pp. 431-452

Persistent link: https://www.econbiz.de/10003421632

Market equilibrium with heterogeneous recursive-utility-maximizing agents

Ma, Chenghu - In: Economic theory : official journal of the Society for … 3 (1993) 2, pp. 243-266

Persistent link: https://www.econbiz.de/10001142106

A discrete-time intertemporal asset pricing model : GE approach with recursive utility

Ma, Chenghu - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 249-275

Persistent link: https://www.econbiz.de/10001245920

Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility

Ma, Chenghu - In: Journal of economic dynamics & control 23 (1998) 1, pp. 97-112

Persistent link: https://www.econbiz.de/10001252987