Asset return volatility with extremely small costs of consumption adjustment
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- Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
- Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series WP-98-18, Federal Reserve Bank of Chicago.
- Ngene, Geoffrey M. & Kabir Hassan, M. & Alam, Nafis, 2014. "Price discovery process in the emerging sovereign CDS and equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 117-132.
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KeywordsCapital assets pricing model ; Consumption (Economics);
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