Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying
نویسندگان
چکیده
منابع مشابه
A Cross-Sectional Test of Linear Factor Models With Time-Varying Risk Premia
This paper explores the ability of theoretically-based asset pricing models such as the CAPM and the consumption CAPM referred to jointly as the (C)CAPM to explain the cross-section of average stock returns. Unlike many previous empirical tests of the (C)CAPM, we specify the pricing kernel as a conditional linear factor model, as would be expected if risk premia vary over time. Central to our a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1999
ISSN: 1556-5068
DOI: 10.2139/ssrn.935320