Citations for "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets"
by Lund, Jesper & Engsted, Tom
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- Massimo Guidolin & Stuart Hyde, 2007.
"What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model,"
2006-029, Federal Reserve Bank of St. Louis.
- Cuthbertson, Keith & Hyde, Stuart, 2002.
"Excess volatility and efficiency in French and German stock markets,"
Elsevier, vol. 19(3), pages 399-418, May.
- Gregoriou, Andros & Hunter, John & Wu, Feng, 2009.
"An empirical investigation of the relationship between the real economy and stock returns for the United States,"
Journal of Policy Modeling,
Elsevier, vol. 31(1), pages 133-143.
- Aude Pommeret & Anne Epaulard, 2001.
"Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off,"
IMF Working Papers
01/117, International Monetary Fund.
- Jens Pech Nielsen & Stefan Sperlich, 2001.
"Prediction of stocks: A new way to look at it,"
Statistics and Econometrics Working Papers
ws011812, Universidad Carlos III, Departamento de Estadística y Econometría.
- Andros Gregoriou & Christos Ioannidis, 2007.
"Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market,"
Springer, vol. 32(1), pages 19-39, April.
- Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004.
"Consumption equilibrium asset pricing in two Asian emerging markets,"
Journal of Asian Economics,
Elsevier, vol. 15(2), pages 305-319, April.
- Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005.
"A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability,"
Research in International Business and Finance,
Elsevier, vol. 19(1), pages 53-70, March.
- Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003.
"A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability,"
Finance Working Papers
03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010.
"Habit formation, surplus consumption and return predictability: International evidence,"
Journal of International Money and Finance,
Elsevier, vol. 29(7), pages 1237-1255, November.
- Stuart Hyde & Mohamed Sherif, 2005.
"Don't break the habit: structural stability tests of consumption asset pricing models in the UK,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 12(5), pages 289-296.
- Engsted, Tom & Pedersen, Thomas Q., 2010.
"The dividend-price ratio does predict dividend growth: International evidence,"
Journal of Empirical Finance,
Elsevier, vol. 17(4), pages 585-605, September.
- Engsted, Tom & Tanggaard, Carsten, 2002.
"The relation between asset returns and inflation at short and long horizons,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 12(2), pages 101-118, April.
- Massimo Guidolin & Stuart Hyde, 2008.
"Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK,"
2008-005, Federal Reserve Bank of St. Louis.
- Engsted, Tom & Tanggaard, Carsten, 2001.
"The Danish stock and bond markets: comovement, return predictability and variance decomposition,"
Journal of Empirical Finance,
Elsevier, vol. 8(3), pages 243-271, July.
- Engsted, Tom, 1998.
"Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks,"
Journal of Macroeconomics,
Elsevier, vol. 20(3), pages 533-552, July.
- Stuart Hyde & Mohamed Sherif, 2004.
"Don't break the habit: structural stability tests of consumption models in the UK,"
Money Macro and Finance (MMF) Research Group Conference 2003
49, Money Macro and Finance Research Group.
- Hunter, John & Wu, Feng, 2014.
"Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies,"
Elsevier, vol. 36(C), pages 557-565.
- Engsted, Tom, 2002.
" Measures of Fit for Rational Expectations Models,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 16(3), pages 301-55, July.
- Luciano Fanti & Luca Gori, 2013.
"Fertility-related pensions and cyclical instability,"
Journal of Population Economics,
Springer, vol. 26(3), pages 1209-1232, July.
- Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013.
Journal of Banking & Finance,
Elsevier, vol. 37(9), pages 3704-3715.
- Martin Scheicher, 2000.
"Time-varying risk in the German stock market,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 6(1), pages 70-91.