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Indexation, the Risk-Free Asset, and Capital Market Equilibrium

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  • Siegel, Jeremy J
  • Warner, Jerold B

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Suggested Citation

  • Siegel, Jeremy J & Warner, Jerold B, 1977. "Indexation, the Risk-Free Asset, and Capital Market Equilibrium," Journal of Finance, American Finance Association, vol. 32(4), pages 1101-1107, September.
  • Handle: RePEc:bla:jfinan:v:32:y:1977:i:4:p:1101-07
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    Cited by:

    1. Azoulay, Eddy & Brenner, Menachem & Landskroner, Yoram & Stein, Roy, 2014. "Inflation risk premium implied by options," Journal of Economics and Business, Elsevier, vol. 71(C), pages 90-102.
    2. Thomas A. Lawler, 1978. "Uncertain inflation, systematic risk, and the capital asset pricing model," Working Paper 78-02, Federal Reserve Bank of Richmond.
    3. Pesando, James E, 1984. "Employee Evaluation of Pension Claims and the Impact of Indexing Initiatives," Economic Inquiry, Western Economic Association International, vol. 22(1), pages 1-17, January.
    4. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
    5. Wilbur G. Lewellen & James S. Ang, 1982. "Inflation, Security Values, And Risk Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 105-123, June.

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