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GMM and present value tests of the C-CAPM under transactions costs : evidence from the UK stock market

Gregoriou, A. (contributor); Ioannidis, C. (contributor) - 2003

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001768430

Heterogeneous Time Varying Transaction Costs and Asset Pricing in International Equity Markets

Gregoriou, Andros - 2010

In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10 international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM) model proposed by Campbell and Shiller (Rev....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013142109

Heterogenous time varying transaction costs and asset pricing in international equity markets

Gregoriou, Andros; Ioannidis, Christos; Ghosh, Sugata - In: Financial markets and portfolio management 23 (2009) 3, pp. 271-283

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003889906

Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs : evidence from the UK stock market

Gregoriou, Andros; Ioannidis, Christos - In: Empirical economics : a journal of the Institute for … 32 (2007) 1, pp. 19-39

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003458727

Asset pricing under the presence of transactions costs : evidence from the UK stock market

Gregoriou, Andros; Ioannidis, Christos - In: Ekonomia : the journal of the Cyprus Economic Society 7 (2004) 2, pp. 139-151

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003267516

Should monetary policy respond to asset price misalignments?

Kontonikas, Alexandros; Ioannidis, Christos - In: Economic modelling 22 (2005) 6, pp. 1105-1121

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003176485

Linear Beta Pricing with Inefficient Benchmarks in a Given Factor Structure

Diacogiannis, George P. - 2019

We show the equivalence between the zero-beta version of a multi-factor arbitrage pricing model and a linear pricing model utilizing undiversified inefficient benchmarks in a given factor structure. The resulting linear model is a two-beta model, with one beta related to the inefficient...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012869354

Linear beta pricing with inefficient benchmarks in a given factor structure

Diacogiannis, George P.; Ioannidis, Christos - In: The European journal of finance 25 (2019) 16, pp. 1551-1571

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012207122

Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions

Diacogiannis, George P.; Ioannidis, Christos - In: International review of financial analysis 81 (2022), pp. 1-14

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013375389