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Иш: Temporal Aggregation and the Continuous‐Time Capital Asset Pricing Model

Large Sample Properties of Generalized Method of Moments Estimators
Lars Peter Hansen
Мақола198224 иқтибос
ABI
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
William F. Sharpe
Мақола196418 иқтибос
ABI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Halbert White
Мақола198011 иқтибос
ABI
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Мақола19878 иқтибос
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth
Мақола19737 иқтибос
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On the exclusion of assets from tests of the two-parameter model
Robert F. Stambaugh
Мақола19825 иқтибос
ABI
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]
John Lintner
Боб19754 иқтибос
ABI
Capital Market Equilibrium with Restricted Borrowing
Fischer Black
Мақола19724 иқтибос
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Economic Forces and the Stock Market
Nai‐Fu Chen, Richard Roll, Stephen A. Ross
Мақола19864 иқтибос
ABI
Stock Returns, Real Activity, Inflation, and Money
Eugene F. Fama
Мақола19813 иқтибос
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Stochastic Differential Equations and Diffusion Processes
Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe
Мақола19833 иқтибос
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Сарлавҳасиз
Бошқа3 иқтибос
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Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton
Мақола19712 иқтибос
ABI
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Ҳисобот19862 иқтибос
ABI
Multivariate tests of financial models
Michael R. Gibbons
Мақола19822 иқтибос
ABI
Expected stock returns and volatility
Kenneth R. French, G. William Schwert, Robert F. Stambaugh
Мақола19872 иқтибос
ABI
An Intertemporal Capital Asset Pricing Model
Robert C. Merton
Мақола19732 иқтибос
ABI
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
John Lintner
Мақола19652 иқтибос
ABI
Сарлавҳасиз
Бошқа2 иқтибос
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Сарлавҳасиз
Бошқа1 иқтибос
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Сарлавҳасиз
Бошқа1 иқтибос
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Сарлавҳасиз
Бошқа1 иқтибос
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Сарлавҳасиз
Бошқа1 иқтибос
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Сарлавҳасиз
Бошқа1 иқтибос
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Сарлавҳасиз
Бошқа1 иқтибос
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