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The consumption-based capital asset pricing model: International evidence

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  • Evans, Paul
  • Hasan, Iftekhar

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  • Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 1-21, January.
    • Handle: RePEc:eee:mulfin:v:8:y:1998:i:1:p:1-21
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    10. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 07-89, Wharton School Rodney L. White Center for Financial Research.
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    15. Larry G. Epstein & Stanley E. Zin, 2013. "Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239, World Scientific Publishing Co. Pte. Ltd..
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    28. N. Gregory Mankiw & Julio J. Rotemberg & Lawrence H. Summers, 1985. "Intertemporal Substitution in Macroeconomics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 100(1), pages 225-251.
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    30. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
    31. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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    34. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
    35. Jagannathan, Ravi, 1985. "An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 40(1), pages 175-191, March.
    36. Ferson, Wayne E. & Merrick, John Jr., 1987. "Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations," Journal of Financial Economics, Elsevier, vol. 18(1), pages 127-146, March.
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    Cited by:

    1. Ng, David T., 2004. "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 189-230, March.

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