Kim, Soon-Ho; Kim, Dongcheol; Shin, Hyun-Soo - In: Pacific-Basin Finance Journal 20 (2012) 2, pp. 198-227
are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan … and Wang conditional CAPM model. By using various test portfolios as well as individual stocks, we conduct time …