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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://www.econbiz.de/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://www.econbiz.de/10003458727

Should monetary policy respond to asset price misalignments?

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

Persistent link: https://www.econbiz.de/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://www.econbiz.de/10012869354