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

Large Sample Properties of Generalized Method of Moments Estimators
Lars Peter Hansen
Maqola198233 iqtibos
ABI
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
William F. Sharpe
Maqola196421 iqtibos
ABI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Halbert White
Maqola198014 iqtibos
ABI
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Maqola198711 iqtibos
ABI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth
Maqola19737 iqtibos
ABI
On the exclusion of assets from tests of the two-parameter model
Robert F. Stambaugh
Maqola19825 iqtibos
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
Bob19754 iqtibos
ABI
Capital Market Equilibrium with Restricted Borrowing
Fischer Black
Maqola19724 iqtibos
ABI
Economic Forces and the Stock Market
Nai‐Fu Chen, Richard Roll, Stephen A. Ross
Maqola19864 iqtibos
ABI
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Hisobot19863 iqtibos
ABI
Stock Returns, Real Activity, Inflation, and Money
Eugene F. Fama
Maqola19813 iqtibos
ABI
Stochastic Differential Equations and Diffusion Processes
Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe
Maqola19833 iqtibos
ABI
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
John Lintner
Maqola19653 iqtibos
ABI
Sarlavhasiz
Boshqa3 iqtibos
ABI
Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton
Maqola19712 iqtibos
ABI
Multivariate tests of financial models
Michael R. Gibbons
Maqola19822 iqtibos
ABI
Expected stock returns and volatility
Kenneth R. French, G. William Schwert, Robert F. Stambaugh
Maqola19872 iqtibos
ABI
An Intertemporal Capital Asset Pricing Model
Robert C. Merton
Maqola19732 iqtibos
ABI
Sarlavhasiz
Boshqa2 iqtibos
ABI
Sarlavhasiz
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ABI
Sarlavhasiz
Boshqa1 iqtibos
ABI
Sarlavhasiz
Boshqa1 iqtibos
ABI
Sarlavhasiz
Boshqa1 iqtibos
ABI
Sarlavhasiz
Boshqa1 iqtibos
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Sarlavhasiz
Boshqa1 iqtibos
ABI