Search Results - subject:"C-CAPM"

Peso problems in the estimation of the C-CAPM

Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas - In: Quantitative Economics 13 (2022) 1, pp. 259-313

This paper shows that the consumption-based capital asset pricing model (C-CAPM) with low-probability disaster risk …

Persistent link: https://www.econbiz.de/10014537035

Peso problems in the estimation of the C-CAPM

Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 259-313

This paper shows that the consumption‐based capital asset pricing model (C-CAPM) with low‐probability disaster risk …

Persistent link: https://www.econbiz.de/10012807749

An alternative representation of the C-CAPM with higher-order risks

Dionne, Georges; Li, Jingyuan; Okou, Cédric - In: The Geneva risk and insurance review 49 (2024) 2, pp. 194-233

Persistent link: https://www.econbiz.de/10015048865

Peso problems in the estimation of the C-CAPM

Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas - 2021

Persistent link: https://www.econbiz.de/10012586640

What do the Fama-French Factors Add to C-CAPM?

Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, Michael - 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book …

Persistent link: https://www.econbiz.de/10010293924

What do the Fama-French Factors Add to C-CAPM?

Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, Michael - CESifo - 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book …

Persistent link: https://www.econbiz.de/10010639427

Risk of rare disasters, Euler equation errors and the performance of the C-CAPM : conference paper

Posch, Olaf; Schrimpf, Andreas - 2013

This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk … that leading asset pricing models cannot explain sizeable pricing errors in the C-CAPM. We also show (analytically and in a …

Persistent link: https://www.econbiz.de/10010338284

Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM

Posch, Olaf; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2012

Persistent link: https://www.econbiz.de/10010851201

Estimating C-CAPM and the Equity Premium over the Frequency Domain

Panopoulou, Ekaterini; Kalyvitis, Sarantis - Department of International and European Economic … - 2012

In this paper we estimate the single-factor Consumption Capital Asset Pricing Model (C-CAPM) over the frequency domain …

Persistent link: https://www.econbiz.de/10010555050

Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures

Maki, Atsushi; Wada, Kenji - In: Economics Bulletin 31 (2011) 2, pp. 1183-1187

applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments. We found that our …

Persistent link: https://www.econbiz.de/10009643080

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