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Modelling risk premia in international asset markets
Smith, Peter N. - In: European economic review : EER 37 (1993) 1, pp. 159-176
Persistent link: https://www.econbiz.de/10001139838
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Modelling risk premia in international asset markets
Smith, Peter N. - 1991
Persistent link: https://www.econbiz.de/10000130895
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Macroeconomic sources of FOREX risk
Wickens, Michael R. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001613840
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UK stock returns and robust tests of mean variance efficiency
Clare, Andrew D. - In: Journal of banking & finance 21 (1997) 5, pp. 641-660
Persistent link: https://www.econbiz.de/10001222187
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Asset pricing with observable stochastic discount factors
Smith, Peter N. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001653785
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Asset pricing with observable stochastic discount factors
Smith, Peter N.; Wickens, Michael R. - In: Contributions to financial econometrics : theoretical …, (pp. 161-210). 2003
Persistent link: https://www.econbiz.de/10001932664
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Macroeconomic sources of equity risk
Smith, Peter N. (contributor); Sorensen, S. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001837657
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Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?
Abhakorn, Pongrapeeporn - 2016
We propose a multivariate test based on no-arbitrage conditions under the stochastic discount factor approach, which compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors. Using the multivariate generalized...
Persistent link: https://www.econbiz.de/10013000288
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What Do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn - 2013
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the...
Persistent link: https://www.econbiz.de/10013080933
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What Do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn - 2013
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the...
Persistent link: https://www.econbiz.de/10013081970