C-CAPM Refinements and the Cross-Section of Returns
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- Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 49-73, April.
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Cited by:
- Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 327-351, December.
- Thomas Nitschka, 2010. "Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(1), pages 49-65, March.
- Yacine Hammami, 2014. "An empirical investigation of asset pricing models under divergent lending and borrowing rates," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 263-279, August.
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More about this item
Keywords
consumption-based asset pricing; habit persistence; idiosyncratic risk; conditional asset pricing;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-04-01 (Finance)
- NEP-FMK-2006-04-01 (Financial Markets)
- NEP-MAC-2006-04-01 (Macroeconomics)
- NEP-RMG-2006-04-01 (Risk Management)
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