Risk and Return: Consumption Beta Versus Market Beta
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- Mankiw, N Gregory & Shapiro, Matthew D, 1986. "Risk and Return: Consumption Beta versus Market Beta," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-459, August.
References listed on IDEAS
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- Shiller, Robert J., 1982.
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Elsevier, vol. 17(1), pages 203-238, January.
- Robert J. Shiller, 1982. "Consumption, Asset Markets, and Macroeconomic Fluctuations," NBER Working Papers 0838, National Bureau of Economic Research, Inc.
- Bernanke, Ben, 1985.
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- Ben S. Bernanke, 1982. "Adjustment Costs, Durables, and Aggregate Consumption," NBER Working Papers 1038, National Bureau of Economic Research, Inc.
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- Levy, Haim, 1978. "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio," American Economic Review, American Economic Association, vol. 68(4), pages 643-658, September.
More about this item
KeywordsCapital asset pricing model; consumption; risk; portfolio theory;
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