Search Results - subject_exact:"CCAPM" - EconBiz

Optimal risk sharing with translation invariant recursive utility for jump-diffusions

Aase, Knut K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471575

The economics of risk sharing in discrete time with translation invariant recursive utility

Aase, Knut K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015473078

Optimal risk sharing with translation invariant recursive utility in continuous time

Aase, Knut K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015473080

Asset pricing and the carbon beta of externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015069859

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Asset pricing and the carbon beta of externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021

Book / Working Paper

Regret aversion and asset pricing anomalies in the Chinese stock market

Wang, Yajie; Yang, Jiayu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334572

Investigating the impact of consumption distribution on CRRA estimation : quantile-CCAPM-based approach

Ramos, Sofia B.; Taamouti, Abderrahim; Veiga, Helena - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437850

Validity of CARA function under expected utility

Yan, Yu; Tong, Yan; Wang, Yiming - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459997

Essentials of Financial Economics : A Hands-On Approach

Donadelli, Michael; Costola, Michele; Gufler, Ivan - 2025

Choice under Uncertainty -- Modern Portfolio Theory -- The Capital Asset Pricing Model -- Empirical Analysis of the CAPM -- The Consumption CAPM -- Arbitrage Pricing Theory and Multi-factor Models -- Empirical Cross-Sectional Asset Pricing -- The Black-Litterman Model -- Event-Study Analysis.

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397272

Estimação dos parâmetros de impaciência e aversão ao risco no mercado imobiliário brasileiro

Champloni, Ana Luiza Oliveira; Tófoli, Paula Virgínia; … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013552433

Testing the consumption-based CAPM using the stochastic discount factor

Monteiro, Marcel Stanlei; Gutiérrez, Carlos Enrique … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013284025

Juvenal, Luciana; Monteiro, Paulo Santos - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015045229

Asset Pricing and the Carbon Beta of Externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012657975

Business-cycle consumption risk and asset prices

Bandi, Federico M.; Tamoni, Andrea - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014471828

The economic determinants of risk-adjusted social discount rates

Gollier, Christian; Cherbonnier, Frédéric - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013499030

The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange

Adegboye, Abidemi C. - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011961662

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The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange

Adegboye, Abidemi C. - 2017

Article

Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns

Galicia-Sanguino, Lucía; Rojo-Suárez, Javier; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013332703

Asset pricing during pandemic lockdown

Saito, Yuta; Sakamoto, Jun - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013286247

Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? : evidence from the European equity market

Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012516122

A Swiss consumption to wealth ratio

Tshering, Lobsang Tenzin - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011536895

The consumption-wealth ratio, aggregate uncertainty and stock returns

Tshering, Lobsang Tenzin - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011536896

Horizon-dependent consumption risk in international equity returns

Tshering, Lobsang Tenzin - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011536897

Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters

Faria, Adriano; Ornelas, Rafael; Almeida, Caio - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011538973

Saving-based asset pricing and leisure

Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012647888

European equity markets : who is the truly representative investor?

Rojo Suárez, Javier; Alonso Conde, Ana Belén; Ferrero … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012416960

An Estimation of Economic Models with Recursive Preferences

Chen, Xiaohong - 2015

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013037936

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An Estimation of Economic Models with Recursive Preferences

Chen, Xiaohong - 2013

Book / Working Paper

An Estimation of Economic Models with Recursive Preferences

Chen, Xiaohong - 2011

Book / Working Paper

An Estimation of Economic Models with Recursive Preferences

Chen, Xiaohong - 2011

Book / Working Paper

The equity premium in a production economy; A new perspective involving recursive utility

Aase, Knut K. - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011252631

Asset Prices and Risk Aversion

Pepin, Dominique - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010899575

Consumption, earnings risk, and payout ratios

Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012250845

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012055755

Consumption-based capital asset pricing models : issues and controversies

Choi, Wonnho - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011979103

Earnings-consumption betas and stock valuation

Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011966800

An estimation of economic models with recursive preferences

Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2013

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009759923

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An estimation of economic models with recursive preferences

Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2012 - This draft: October 3, 2012

Edition: This draft: October 3, 2012

Book / Working Paper

An estimation of economic models with recursive preferences

Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2011

Book / Working Paper

Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?

Posta, Vit - 2012

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010600839

Balance sheet effect in the Polish economy

Grabowski, Szymon - 2011

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009189442

Conservatism in Corporate Valuation

Bach, Christian - 2011

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009293656

Habit-based Asset Pricing with Limited Participation Consumption

Bach, Christian; Møller, Stig Vinther - 2010

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008509120

Consumption-based CAPM with belief heterogeneity

Shi, Lei - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011708306

Uninsured expense shocks and equity premia

Wang, Qin; Ren, Yu; Zou, Yiheng - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011647041

Essays on Consumption-based Asset Pricing Models

Bin Li - 2009

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009448102

Testing the optimality of consumption decisions of the representative household : evidence from Brazil

Costa, Marcos Gesteira; Gutiérrez, Carlos Enrique Carrasco - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011447293

Equity risk premium and insecure property rights

Magin, Konstantin - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011408208

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

Liu, Jingyi - 2008

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005369094

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Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

Liu, Jingyi - 2008

Book / Working Paper

What does a financial system say about future economic growth?

Grabowski, Szymon - 2008

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005617160

Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence

Gao, Paul P.J.; Huang, Kevin X.D. - 2008

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009207396

Real economic activity and state of financial markets

Grabowski, Szymon - 2007

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005113467

Investors’ valuation for asset liquidity and the corporate-treasury yield spread

Niestroj, Benjamin - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010421663

THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING

GÜRTLER, MARC; HARTMANN, NORA - 2007

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10004971775

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The equity premium puzzle and emotional asset pricing

Gürtler, Marc; Hartmann, Nora - 2004

Book / Working Paper

The Equity Premium Puzzle and Emotional Asset Pricing

Gürtler, Marc; Hartmann, Nora - 2006

Book / Working Paper

The equity premium puzzle and emotional asset pricing

Gürtler, Marc; Hartmann, Nora - 2004

Book / Working Paper

An analysis of the consumption risk and asset returns of Chinese residents

Xuheng, ZANG; Liping, WANG - 2006

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010944963

Saving-based asset-pricing

Dreyer, Johannes K.; Schneider, Johannes; Smith, William T. - 2013

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011065662

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Saving-based asset-pricing

Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - 2013

Article

Dividend growth, stock valuation, and long-run risk

Bergeron, Claude - 2013

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010698301

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Dividend growth, stock valuation, and long-run risk

Bergeron, Claude - 2013

Article

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