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Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk

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  • Flood, Robert P.
  • Rose, Andrew K.

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File URL: http://www.sciencedirect.com/science/article/B6VBW-4H0B0BP-2/2/12d8cd0260d4dbfbea4206bee24fca4a
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 52 (2005)
Issue (Month): 5 (July)
Pages: 951-969

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Handle: RePEc:eee:moneco:v:52:y:2005:i:5:p:951-969

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
  2. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2002. "Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 73-112, February.
  3. Maurice Obstfeld & Kenneth Rogoff, 2000. "New Directions for Stochastic Open Economy Models," International Finance 0004002, EconWPA.
  4. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  5. Richard Clarida & Jordi Galí & Mark Gertler, 1997. "The science of monetary policy: A new Keynesian perspective," Economics Working Papers 356, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1999.
  6. Robert G. King & Sergio T. Rebelo, 2000. "Resuscitating Real Business Cycles," NBER Working Papers 7534, National Bureau of Economic Research, Inc.
  7. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-62, April.
  8. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
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Cited by:
  1. Huang, Biqing & Wald, John & Martell, Rodolfo, 2013. "Financial market liberalization and the pricing of idiosyncratic risk," Emerging Markets Review, Elsevier, vol. 17(C), pages 44-59.
  2. Roberto Blanco & Fernando Restoy, 2007. "Have real interest rates really fallen that much in Spain?," Banco de Espa�a Working Papers 0704, Banco de Espa�a.
  3. Eduardo Levy Yeyati & Sergio Luis Schmukler & Neeltje Van Horen, 2006. "International Financial Integration through the Law of One Price," Business School Working Papers 2006-01, Universidad Torcuato Di Tella.
  4. Conway, Patrick, 2012. "The exchange rate as nominal anchor: A test for Ukraine," Journal of Comparative Economics, Elsevier, vol. 40(3), pages 438-456.
  5. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 0883, European Central Bank.
  6. Juan Ayuso & Roberto Blanco & Fernando Restoy, 2006. "House prices and real interest rates in Spain," Banco de Espa�a Occasional Papers 0608, Banco de Espa�a.
  7. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
  8. Gianni De Nicoló & Alexander F. Tieman, 2006. "Economic Integration and Financial Stability," IMF Working Papers 06/296, International Monetary Fund.

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