A Class of Models satisfying a Dynamical Version of the CAPM.

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

MoreLess

Year of publication:	2003-06
Authors:	Napp, Clotilde ; Jouini, Elyès
Institutions:	Université Paris-Dauphine
Subject:	CCAPM \| Financial Markets \| Market beta \| Equilibrium \| CAPM

More details

Extent:	application/pdf
Series:	Open Access publications from Université Paris-Dauphine.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Economics Letters (2003-06) v.79, p.299-304
Classification:	D50 - General Equilibrium and Disequilibrium. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008532425