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Rational Response to Shocks in a Dynamic Model of Capital Asset Pricing

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  • Black, Stanley W

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Bibliographic Info

Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 66 (1976)
Issue (Month): 5 (December)
Pages: 767-79

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Handle: RePEc:aea:aecrev:v:66:y:1976:i:5:p:767-79

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Cited by:
  1. David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, 03.
  2. Lee, Cheng-Few & Tsai, Chiung-Min & Lee, Alice C., 2009. "A dynamic CAPM with supply effect: Theory and empirical results," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 811-828, August.
  3. Jeffrey A. Frankel and William T. Dickens., 1983. "Are Asset-Demand Functions Determined by CAPM?," Research Program in Finance Working Papers 140, University of California at Berkeley.
  4. Peter Dawson, 2013. "The Capital Asset Pricing Model in Economic Perspective," Alumni working papers 2013-01, University of Connecticut, Department of Economics, revised May 2014.
  5. Chen, An-Sing & Leung, Mark T., 2005. "Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2947-2969, December.

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