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Should the holding period matter for the intertemporal consumption-based CAPM?

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  • Lewis, Karen K.

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  • Lewis, Karen K., 1991. "Should the holding period matter for the intertemporal consumption-based CAPM?," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 365-389, December.
  • Handle: RePEc:eee:moneco:v:28:y:1991:i:3:p:365-389
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    1. Cooley, Thomas F. & Hansen, Gary D., 1992. "Tax distortions in a neoclassical monetary economy," Journal of Economic Theory, Elsevier, vol. 58(2), pages 290-316, December.
    2. Lucas, Robert E., 1981. "Discussion of : Stanley Fischer, "towards an understanding of the costs of inflation: II"," Carnegie-Rochester Conference Series on Public Policy, Elsevier, pages 43-52.
    3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    4. Finn, Mary G. & Hoffman, Dennis L. & Schlagenhauf, Don E., 1990. "Intertemporal asset-pricing relationships in barter and monetary economies An empirical analysis," Journal of Monetary Economics, Elsevier, pages 431-451.
    5. Singleton, Kenneth J., 1985. "Testing specifications of economic agents' intertemporal optimum problems in the presence of alternative models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 391-413.
    6. Hahn, Frank, 1990. "On Inflation," Oxford Review of Economic Policy, Oxford University Press, vol. 6(4), pages 15-25, Winter.
    7. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
    8. Feenstra, Robert C., 1986. "Functional equivalence between liquidity costs and the utility of money," Journal of Monetary Economics, Elsevier, pages 271-291.
    9. Bental, Benjamin & Eckstein, Zvi, 1990. "The Dynamics of Inflation with Constant Deficit under Expected Regime Change," Economic Journal, Royal Economic Society, vol. 100(403), pages 1245-1260, December.
    10. McCallum, Bennett T., 1990. "Inflation: Theory and evidence," Handbook of Monetary Economics,in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 18, pages 963-1012 Elsevier.
    11. Martin S. Eichenbaum & Lars Peter Hansen & Kenneth J. Singleton, 1988. "A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 103(1), pages 51-78.
    12. Michael Bruno & Stanley Fischer, 1990. "Seigniorage, Operating Rules, and the High Inflation Trap," The Quarterly Journal of Economics, Oxford University Press, vol. 105(2), pages 353-374.
    13. King, Robert G. & Plosser, Charles I., 1985. "Money, deficits, and inflation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, pages 147-195.
    14. Sargent, Thomas J & Wallace, Neil, 1973. "Rational Expectations and the Dynamics of Hyperinflation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(2), pages 328-350, June.
    15. Allan Drazen & Elhanan Helpman, 1990. "Inflationary Consequences of Anticipated Macroeconomic Policies," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 147-164.
    16. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    17. McCallum, Bennett T., 1990. "Inflation: Theory and evidence," Handbook of Monetary Economics,in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 18, pages 963-1012 Elsevier.
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    Cited by:

    1. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, pages 357-376.
    2. Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
    3. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA.
    4. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
    5. Janusz Brzeszczyński & Jerzy Gajdka & Tomasz Schabek, 2011. "The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(1), pages 28-49, January.
    6. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, pages 1169-1187.
    7. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
    8. Martin D. Evans & Karen K. Lewis, 1992. "Peso Problems and Heterogeneous Trading: Evidence from Excess Returns in Foreign Exchange and Euromarkets," Working Papers 92-13, New York University, Leonard N. Stern School of Business, Department of Economics.
    9. Janusz Brzeszczyński & Jerzy Gajdka & Tomasz Schabek, 2011. "The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(1), pages 28-49, January.
    10. Nucci, Francesco, 2003. "Cross-currency, cross-maturity forward exchange premiums as predictors of spot rate changes: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 183-200, February.
    11. Lewis, Karen K., 1997. "Are countries with official international restrictions 'liquidity constrained'?," European Economic Review, Elsevier, vol. 41(6), pages 1079-1109, June.
    12. Brailsford, Timothy J. & Faff, Robert W., 1997. "Testing the conditional CAPM and the effect of intervaling: A note," Pacific-Basin Finance Journal, Elsevier, pages 527-537.

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