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Consumption-based asset pricing, part 1: classic theory and tests, measurement issues, and limited participation

Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 35-83

Persistent link: https://www.econbiz.de/10011567485

Consumption-based asset pricing, part 2: habit formation, conditional risks, long-run risks, and rare disasters

Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 85-131

Persistent link: https://www.econbiz.de/10011568207

Central bank policy impacts on the distribution of state prices for future interest rates : 2003-2022

Breeden, Douglas T.; Litzenberger, Robert H. - In: The journal of fixed income : JFI 32 (2022) 2, pp. 64-92

Persistent link: https://www.econbiz.de/10014231361

On the CAP M Approach to the Estimation of a Public Utility's Cost of Equity Capital.

Litzenberger, Robert; Ramaswamy, Krishna; Sosin, Howard - In: Journal of Finance 35 (1980) 2, pp. 369-83

Persistent link: https://www.econbiz.de/10005214753

On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM.

Kraus, Alan; Litzenberger, Robert - In: Journal of Finance 38 (1983) 5, pp. 1381-91

Persistent link: https://www.econbiz.de/10005214929

The Impacts of Automation and High Frequency Trading on Market Quality

Litzenberger, Robert; Castura, Jeff; Gorelick, Richard - In: Annual Review of Financial Economics 4 (2012) 1, pp. 59-98

In recent decades, US equity markets have changed from predominantly manual markets with limited competition to highly automated and competitive markets. These changes occurred earlier for NASDAQ stocks (primarily between 1994 and 2004) and later for NYSE-listed stocks (mostly following Reg NMS...

Persistent link: https://www.econbiz.de/10010603948