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A Simple Econometric Approach for Utility-based Asset Pricing Models

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Author Info
Brown, David P
Gibbons, Michael R
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 40 (1985)
Issue (Month): 2 (June)
Pages: 359-81
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Handle: RePEc:bla:jfinan:v:40:y:1985:i:2:p:359-81

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  1. John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios, 2004. "The Yield Spread as a Symmetric Predictor of Output and Inflation," CEPR Discussion Papers 4314, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  4. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
  5. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley. [Downloadable!]
  6. Miguel Martínez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," European Journal of Finance, Taylor and Francis Journals, vol. 9(3), pages 199-218, June. [Downloadable!] (restricted)
  7. Stéphane Rossignol & Emmanuelle Taugourdeau, 2006. "Asymmetric social protection systems with migration," Journal of Population Economics, Springer, vol. 19(3), pages 481-505, July. [Downloadable!] (restricted)
  8. Araújo, Fabio & Fernandes, Marcelo & Issler, João Victor, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  9. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
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