A new test on the conditional capital asset pricing model-Reference-Cited by-同舟云学术

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A new test on the conditional capital asset pricing model

Published:2015-06 Issue:2 Volume:30 Page:163-186
ISSN:1005-1031
Container-title:Applied Mathematics-A Journal of Chinese Universities
language:en
Short-container-title:Appl. Math. J. Chin. Univ.

Author:

Li Xia-fei,Cai Zong-wu,Ren Yu

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s11766-015-3351-2.pdf

Reference21 articles.

1. A Ang, J Chen. CAPM over the long run: 1926-2001, J Empir Financ, 2007, 14: 1–40.

2. A Ang, D Kristensen. Testing conditional factor models, J Financ Econ, 2012, 106: 132–156.

3. T Bali. The intertemporal relation between expected returns and risk, J Financ Econ, 2008, 87: 101–131.

4. T Bali, R Engle. The intertemporal capital asset pricing model with dynamic conditional correlations, J Monetary Econ, 2010, 57: 377–390.

5. T Bali, R Engle. The conditional CAPM explains the value premium, Working Paper, 2012, doi:10.2139/ssrn.2177321.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A semiparametric conditional capital asset pricing model;Journal of Banking & Finance;2015-12

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