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Production-based asset pricing in Japan

  • Bakshi, Gurdip S.
  • Chen, Zhiwu
  • Naka, Atsuyuki

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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 3 (1995)
Issue (Month): 2-3 (July)
Pages: 217-240

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Handle: RePEc:eee:pacfin:v:3:y:1995:i:2-3:p:217-240
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  18. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.
  19. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  20. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-28, September.
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  30. Lars Peter Hansen & Robert J. Hodrick, 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 113-152 National Bureau of Economic Research, Inc.
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