C-CAPM: A Test of Non-Linearity in Conditioning Variable
(Sprache: Englisch)
Asset pricing is one of the most interesting fields of finance. We focus our attention towards assessing consumption based asset pricing model with the help of US stock market data. We present the theoretical framework and empirical analysis in lucid...
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Asset pricing is one of the most interesting fields of finance. We focus our attention towards assessing consumption based asset pricing model with the help of US stock market data. We present the theoretical framework and empirical analysis in lucid manner. The Lettau and Ludvigson conditioning variable is used in linear form in their study. We introduce the non linear form of cay variable in asset pricing model to assess its impact on the explanatory power of the CCAPM.
Bibliographische Angaben
- Autor: Pankaj Chaudhary
- 2016, 64 Seiten, Maße: 22 cm, Kartoniert (TB), Englisch
- Verlag: LAP Lambert Academic Publishing
- ISBN-10: 3659947830
- ISBN-13: 9783659947834
Sprache:
Englisch
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