Search Results - subject:"CCAPM"

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Asset pricing and the carbon beta of externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - In: Journal of environmental economics and management : … 125 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015069859

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

Estimação dos parâmetros de impaciência e aversão ao risco no mercado imobiliário brasileiro

Champloni, Ana Luiza Oliveira; Tófoli, Paula Virgínia; … - In: Revista brasileira de economia de empresas 22 (2022) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10013552433

Testing the consumption-based CAPM using the stochastic discount factor

Monteiro, Marcel Stanlei; Gutiérrez, Carlos Enrique … - In: Revista brasileira de economia : RBE ; publicação de … 76 (2022) 1, pp. 57-71

Persistent link: https://www.econbiz.de/10013284025

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

Asset Pricing and the Carbon Beta of Externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021

Climate policy needs to set incentives for actors who face imperfect, distorted markets and large uncertainties about the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon beta). We study carbon pricing and financial incentives...

Persistent link: https://www.econbiz.de/10012657975

Asset pricing and the carbon beta of externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021

Persistent link: https://www.econbiz.de/10012607579

The economic determinants of risk-adjusted social discount rates

Gollier, Christian; Cherbonnier, Frédéric - 2018

Persistent link: https://www.econbiz.de/10013499030

The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange

Adegboye, Abidemi C. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 117-142

In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering … formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with … consumption beta estimates, CCAPM is found to only be relevant for few portfolios in the stock market, with negative betas for the …

Persistent link: https://www.econbiz.de/10011961662

"Valuation of natural capital under uncertain substitutability"

Gollier, Christian - 2017

Persistent link: https://www.econbiz.de/10011731283