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  • Search: subject:"Intertemporal CAPM"
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Year of publication
Subject
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Intertemporal CAPM 29 CAPM 26 Capital income 18 Kapitaleinkommen 18 Theorie 16 Theory 16 Portfolio selection 13 Portfolio-Management 13 Schätzung 12 Estimation 11 Börsenkurs 9 Risikoprämie 9 Share price 9 Risiko 8 Risk 8 Risk premium 8 Forecasting model 6 Prognoseverfahren 6 Aktienmarkt 5 Asset pricing 5 Capital market returns 5 Cross-section of stock returns 5 Kapitalmarktrendite 5 Stock market 5 intertemporal CAPM 5 Asset pricing models 3 Linear multifactor models 3 Predictability of stock returns 3 Return decomposition 3 Yield curve 3 Zinsstruktur 3 Ankündigungseffekt 2 Anlageverhalten 2 Announcement effect 2 Behavioural finance 2 Bubbles 2 Cash Flow 2 Cash flow 2 Cash flow news 2 China 2
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Online availability
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Undetermined 25 Free 5
Type of publication
All
Article 29 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 28 Undetermined 6
Author
All
Maio, Paulo 8 Cappiello, Lorenzo 3 Jarrow, Robert A. 3 Koutmos, Dimitrios 3 Lin, Qi 3 Gonçalves, Andrei S. 2 Guéné, Stéphane 2 Jahan-Parvar, Mohammad R. 2 Philip, Dennis 2 Santa-Clara, Pedro 2 Barroso, Pedro 1 Bianchi, Francesco 1 Boons, Martijn 1 Chanon Chingchayanurak 1 Chauv, Frankie 1 Cheng, Ai-Ru 1 Cheng, Ai-ru 1 Cooper, Ilan 1 Deesomsak, Rataporn 1 Faff, Robert W. 1 Gharghori, Philip 1 Guo, Hui 1 Hoang, Khoa 1 Huang, Ronghong 1 Huang, Shirley J. 1 Karehnke, Paul 1 Kim, Dongcheol 1 Kim, Soon-Ho 1 Kwon, Ji Ho 1 Lin, Xi 1 Liu, Qianqiu 1 Meng, Liang 1 Min, Byoung-Kyu 1 Najand, Mohammad 1 Panutat Maneemaroj 1 Ravi Lonkani 1 Shin, Hyun-Soo 1 Simkus, Matthew 1 Sun, Licheng 1 Truong, Helen 1
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Institution
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C.E.P.R. Discussion Papers 1 European Central Bank 1
Published in...
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Journal of banking & finance 3 Journal of financial economics 3 Journal of international financial markets, institutions & money 2 Pacific-Basin finance journal 2 The quarterly journal of finance 2 Annals of Economics and Finance 1 Annals of finance 1 CEPR Discussion Papers 1 ECB Working Paper 1 Emerging Markets Review 1 Emerging markets review 1 Finance research letters 1 Fisher College of Business working paper series 1 Global business review 1 International journal of theoretical and applied finance 1 International review of financial analysis 1 Journal of Banking & Finance 1 Journal of Financial Economics 1 Journal of International Financial Markets, Institutions and Money 1 Journal of business ethics : JOBE 1 Journal of empirical finance 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Pacific-Basin Finance Journal 1 Swiss Finance Institute Research Paper Series 1 The North American journal of economics and finance : a journal of financial economics studies 1 The financial review : the official publication of the Eastern Finance Association 1 Working Paper Series / European Central Bank 1
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Source
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ECONIS (ZBW) 24 RePEc 9 EconStor 1
Showing 1 - 10 of 34
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Understanding idiosyncratic momentum in the Chinese stock market
Lin, Qi - In: Journal of international financial markets, … 76 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013412807
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More predictors of the investment opportunity set in the ICAPM
Kwon, Ji Ho - In: Finance research letters 47 (2022) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10013457482
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Economic uncertainty and cross section of stock returns : Australian evidence
Simkus, Matthew; Truong, Helen; Hoang, Khoa; Huang, Ronghong - In: Pacific-Basin finance journal 74 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013389482
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Can reinvestment risk explain the dividend and bond term structures?
Gonçalves, Andrei S. - 2018 - This Version: January, 2018
The equity term structure is downward sloping at long maturities. I show, through an ICAPM estimation, that the tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly exposed to market risk, they are also good hedges for...
Persistent link: https://www.econbiz.de/10011963382
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The q5 model and its consistency with the intertemporal CAPM
Lin, Qi - In: Journal of banking & finance 127 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012820950
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Time-varying state variable risk premia in the ICAPM
Barroso, Pedro; Boons, Martijn; Karehnke, Paul - In: Journal of financial economics 139 (2021) 2, pp. 428-451
Persistent link: https://www.econbiz.de/10012693673
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Appropriate expected return and the relationship with risk
Panutat Maneemaroj; Ravi Lonkani; Chanon Chingchayanurak - In: Global business review 22 (2021) 4, pp. 865-878
Persistent link: https://www.econbiz.de/10012591567
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The short duration premium
Gonçalves, Andrei S. - In: Journal of financial economics 141 (2021) 3, pp. 919-945
Persistent link: https://www.econbiz.de/10012873075
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An inflation-based ICAPM in China
Zhang, Han - In: Pacific-Basin finance journal 68 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10013332514
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Are the profitability and investment factors valid ICAPM risk factors? : pre-1963 evidence
Lin, Qi; Lin, Xi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013186489
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