Testing world consumption asset pricing models

Keywords

Capital asset pricing model, Economics, Consumption-based capital asset pricing model, Equity premium puzzle, Consumption (sociology)

References

• Essays on Consumption-based Asset Pricing ModelsBin Li — 2009
• An Empirical Investigation of International Asset PricingRobert A. Korajczyk, Claude J. Viallet — 1989
• Time-Varying World Market IntegrationGeert Bekaert, Campbell R. Harvey — 1995
• International asset returns and exchange ratesYuming Li, Maosen Zhong — 2009
• AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETSRichard Stehle — 1977
• Consumption Habit and International Stock ReturnsYuming Li, Maosen Zhong — 2004
• Asset Pricing with Heterogeneous ConsumersGeorge M. Constantinides, Darrell Duffie — 1996
• The Pricing of Exchange Rate Risk in the Stock MarketPhilippe Jorion — 1991
• International Asset Pricing and Portfolio Diversification with Time‐Varying RiskGiorgio De Santis, Bruno Gérard — 1997
• Some tests of international equity integrationSimon M. Wheatley — 1988
• AN INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIESDouglas T. Breeden — 1979
• The World Price of Covariance RiskCampbell R. Harvey — 1991
• ASSET PRICES IN AN EXCHANGE ECONOMYRobert E. Lucas — 1978
• Asset Prices Under Habit Formation and Catching Up with the JonesesAndrew B. Abel — 1990
• Assessing Specification Errors in Stochastic Discount Factor ModelsLars Peter Hansen, Ravi Jagannathan — 1994
• A Consumption-Based Explanation of Expected Stock ReturnsMotohiro Yogo — 2006
• International arbitrage pricing theory : an empirical investigationSarath P. Abeysekera, Arvind Mahajan — 1990
• A model of international asset pricingRené M. Stulz — 1981
• Incomplete Consumption Risk Sharing and Currency Risk PremiumsSergei Sarkissian — 2003
• The Risk and Predictability of International Equity ReturnsWayne E. Ferson, Campbell R. Harvey — 1993

Cited by

• Empiriskt test av den konsumtionsbaserade CAPMOliwer Silfverberg — 2015
• Common Risk Factors in Equity MarketsVictoria Atanasov — 2014
• Carbon dioxide and asset pricing: Evidence from international stock marketsZhuo Chen, J. Liu, Andrea Lu — 2023
• The Predictive Power of Capital Asset Pricing Model and Consumption Capital Asset Pricing Model in NigeriaBusayo Aderounmu, O. Oni — 2024

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