Palandri, Alessandro - School of Economics and Management, University of Aarhus - 2009
Correlations, Interest Rate, Capital
Asset Pricing Model, Sequential Conditional Correlations.
space
JEL classification: G10, G19 …-
cal connections between these seemingly different quantities are investigated within
the Consumption Capital Asset Pricing … functionuwithuprime > 0 anduprimeprime < 0. The asset pricing restrictions for the net return
ri,t+1 satisfy:
Et [mt+1 (1 +ri,t+1)] = 1 (1 …