Asset pricing models with and without consumption data: An empirical evaluation
This paper evaluates the ability of the empirical model of asset pricing of Campbell (1993a,b) to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. In Campbell's model, an alternative risk-return relationship is derived by substituting consumptio...
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Published in | Journal of empirical finance Vol. 3; no. 3; pp. 267 - 301 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Elsevier B.V
1996
Elsevier |
Series | Journal of Empirical Finance |
Subjects | |
Online Access | Get full text |
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