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GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets

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  • Lund, Jesper
  • Engsted, Tom

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 15 (1996)
Issue (Month): 4 (August)
Pages: 497-521

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Handle: RePEc:eee:jimfin:v:15:y:1996:i:4:p:497-521

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. J. Bradford De Long & Marco Becht, 1992. ""Excess Volatility" and the German Stock Market, 1876-1990," NBER Working Papers 4054, National Bureau of Economic Research, Inc.
  2. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
  3. Hamori, Shigeyuki, 1993. "Test of the international equity integration of Japan," Economics Letters, Elsevier, vol. 42(1), pages 71-76.
  4. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-68, November.
  5. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
  6. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
  7. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
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