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1Academic Journal
المؤلفون: Abdoh, Hussein Ali Ahmad
المصدر: Open Access Theses & Dissertations
مصطلحات موضوعية: Cash-flow investments, Consumption Capital Asset Pricing Model, Financial constraints, Idiosyncratic volatility, Product Market Competition, Systematic risk, Finance and Financial Management
وصف الملف: application/pdf
Relation: https://scholarworks.utep.edu/open_etd/786; https://scholarworks.utep.edu/cgi/viewcontent.cgi?article=1785&context=open_etd
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2Conference
المؤلفون: 陳樹衡, Chen,Shu-Heng
مصطلحات موضوعية: Bounded Rationality, Elasticity Puzzle, Risk Preference, Consumption Capital Asset Pricing Model, Agent-Based Computational Modeling, Genetic Algorithms
Relation: Society for Computational Economics 13th International Conference on Computing in Economics and Finance; https://nccur.lib.nccu.edu.tw//handle/140.119/46346; https://nccur.lib.nccu.edu.tw/bitstream/140.119/46346/1/94241542.pdf
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3Academic Journal
مصطلحات موضوعية: 尤金·法玛, 罗伯特·希勒, 彼得·汉森, 资产定价, 有效市场假说, 过度波动, 行为金融学, 消费资本资产定价模型, Eugene Fama, Robert Shiller, Lars Peter Hansen, asset pricing, efficient market hypothesis, excess volatility, behavioral finance, consumption capital asset pricing model
Relation: 外国经济与管理,2013,35(417):72-83; WGJG201311008; http://dspace.xmu.edu.cn/handle/2288/113054
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4
المساهمون: Escolas::EPGE, FGV
المصدر: Repositório Institucional do FGV (FGV Repositório Digital)
Fundação Getulio Vargas (FGV)
instacron:FGVمصطلحات موضوعية: Consumption capital asset pricing model, Linear multifactor model, Lagrange, Equações de, Common factors, Stochastic discount factor, Economia, Common features
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5
المؤلفون: Hamisultane, Hélène
المساهمون: EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), Université de Nanterre - Paris X, Sandrine LARDIC(lardic@u-paris10.fr), Hamisultane, Hélène
المصدر: Economies et finances. Université de Nanterre-Paris X, 2007. Français
Economies et finances. Université de Nanterre-Paris X, 2007. Français. ⟨NNT : ⟩مصطلحات موضوعية: Long memory processes, Market price of risk, Monte-Carlo simulation, Generalized method of moments, Periodic variance models, Processus à mémoire longue, Weather derivatives, Dérivés climatiques, Simulation de Monte-Carlo, Simulated method of moments, Méthode d'évaluation en l'absence d'arbitrage, Modèles de variance périodique, Méthode des moments simulés, Risk-neutral distribution, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Free-arbitrage pricing method, Prix de marché du risque, Processus à sauts, Consumption-capital asset pricing model, Finite difference method, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Modèle d'évaluation des actifs financiers fondé sur la consommation, Méthode actuarielle, Actuarial method, Distribution risque-neutre, Méthode des moments généralisés, Méthode des différences finies, Jump process
وصف الملف: application/pdf
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6Dissertation/ Thesis
المؤلفون: Hamisultane, Hélène
المساهمون: EconomiX (EconomiX), Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), Université de Nanterre - Paris X, Sandrine LARDIC(lardic@u-paris10.fr)
المصدر: https://theses.hal.science/tel-00283848 ; Economies et finances. Université de Nanterre - Paris X, 2007. Français. ⟨NNT : ⟩.
مصطلحات موضوعية: Weather derivatives, Free-arbitrage pricing method, Actuarial method, Consumption-capital asset pricing model, Risk-neutral distribution, Market price of risk, Monte-Carlo simulation, Finite difference method, Generalized method of moments, Simulated method of moments, Periodic variance models, Jump process, Long memory processes, Processus à mémoire longue, Dérivés climatiques, Méthode d'évaluation en l'absence d'arbitrage, Méthode actuarielle, Modèle d'évaluation des actifs financiers fondé sur la consommation, Distribution risque-neutre, Prix de marché du risque, Simulation de Monte-Carlo, Méthode des différences finies, Méthode des moments généralisés, Méthode des moments simulés, Modèles de variance périodique, Processus à sauts, [SHS.ECO]Humanities and Social Sciences/Economics and Finance
Relation: tel-00283848; https://theses.hal.science/tel-00283848; https://theses.hal.science/tel-00283848/document; https://theses.hal.science/tel-00283848/file/these_hhamisultane.pdf
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7Academic Journal
المؤلفون: Christian Julliard
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Human Capital, Labor Income Risk, Expected Returns, Consumption Capital Asset Pricing Model. JEL Classification, E21, E24, G12. ∗For helpful comments and discussions, I thank Markus Brunnermeier, Pete Kyle, Sydney Ludvigson
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.188.8365; http://cep.lse.ac.uk/seminarpapers/02-02-05-JUL.pdf
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8Dissertation/ Thesis
المؤلفون: 黃崇閔, Huang, Chung-Min
المساهمون: 荷世平, 臺灣大學：土木工程學研究所
مصطلحات موضوعية: 流動性風險, 消費資產定價模型, 流動性成本, 不動產投資信託, liquidity risk, consumption capital asset pricing model CCAPM, liquidity cost, REIT
وصف الملف: 1170913 bytes; application/pdf
Relation: Acharya, V. V. and L. H. Pedersen. (2005). “Asset pricing with liquidity risk,” Journal of Financial Economics, Vol. 77, 375-410. Avramov, D. and T. Chordia. (2003). “Can asset pricing models explain liquidity and momentum,” working paper. Amihud, Y. (2002). “Illiquidity and stock returns: cross-section and time-series effects,” Journal of Financial Markets, Vol. 5, 31–56. Breeden, D. T., M. R Gibbons and R. H.Litzenberger. (1989). “Empirical Tests of the Consumption-Oriented CAPM,” The Journal of Finance, 44(2): 231-262. Breeden, D.T. (1979). “An intertemporal asset pricing model with stochastic consumption and investment opportunities,” Journal of Financial Economics, Vol. 7(3), 265-296. Clayton, J. and G. Mackinnon. (2003). “The Relative Importance of stock, Bond and Real Estate Factors in Explaining REIT Returns,” Journal of Real Estate Finance and Economis, 27(1): 39-60. Campbell, J. Y. (2002). “Consumption-based asset pricing,” the Handbook of the Economics of Finance, George Constantinides, Milton Harris, and Rene Stulz eds., North-Holland, Amsterdam. Cocco, J. F., F. J. Gomes and P. J. Maenhout (2005). “Consumption and Portfolio Choice over the Life Cycle,” The Review of Financial Studies, 18(2): 491-533 Epstein, L. G. and S. E. Zin. (1991). “Substitution , Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis,” Journal of Political Economy, 99(2): 263-286. Epstein, L. G. and S. E. Zin. (1991). “Substitution , Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns A Theoretical Framework,” Econometrica, 57(4): 937-969. Fama, E.F. and K.R. French. (1992). “The Cross-Section of Expected Stock Returns,” The Journal of Finance, 47(2): 427-465. Fama, E.F. and K.R. French. (1993). “Common Risk Factors in the Returns on Stocks and Bonds,” The Journal of Financial Economics, 33(1): 3-56. Fama, E.F. and K.R. French. (1996). “Multifactor Explanations of Asset Pricing Anomalies,” The Journal of Finance, 51(1): 55-84. Holmstrom, B. and J. Tirole. (2001). “LAPM: A Liquidity-Based Asset Pricing Model,” The Journal of Finance, 56(5): 1837-1867. Jagannathan, R. and Z. Wang. (1996). “The Conditional CAPM and the Cross-Section of Expected Returns,” The Journal of Finance, 51(1): 3-53. Ling, D. and A. Naranjo. (2003). “The Dynamics of REIT Capital Flows and Returns,” Real Estate Economis, 31(3): 405-434. Lettau, M. and S. Ludvigson. (2001). “Consumption, Aggregate Wealth, and Expected Stock Returns,” The Journal of Finance, 56(3), 815-849. Merton, R.C. (1973). “An Intertemporal Capital Asset Pricing Model,” Econometrica, Vol. 41, 867-887. Porta, R. L. (1996). “Expectation and the Cross-Section of Stock Returns,” The Journal of Finance, 51(5): 1715-1742. Parker, J. A. and C. Julliard. (2005). “Consumption Risk and the Cross-Section of Expected Returns,” Journal of Political Economy, 113(1). 185-222. Pastor, L., and R.F. Stambaugh. (2003). “Liquidity risk and expected stock returns,” Journal of Political Economy, Vol. 111, 642–685. Peterson, J.D. and C.H. Hsieh. (1997). “Do common risk factors in the returns on stocks and bonds explain returns on REITs,” Real Estate Economics, Vol. 2, 321-345. Piazzesi, M., M. Schneider, and S. Tuzel. (2004). “Housing, Consumption, and Asset Pricing,” Society for Economic Dynamics in its series 2004 Meeting Papers with number 357c. Titman, S., W. Chui, and J. Wei. (2003). “The Cross Section of Expected REIT Returns,” Real Estate Economics, Vol. 3, 451-479. Zeldes, S. P. (1989). “Consumption and Liquidity Constrains: An Empirical Investigation,” Journal of Political Economy, 97(2): 305-346.; en-US; http://ntur.lib.ntu.edu.tw/handle/246246/50495; http://ntur.lib.ntu.edu.tw/bitstream/246246/50495/1/ntu-95-R93521703-1.pdf