An Empirical Investigation of Consumption CAPMs in the Australian Market
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|Date of creation:||Nov 2010|
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- Alvin Tan & Graham Voss, 2000. "Consumption and Wealth," RBA Research Discussion Papers rdp2000-09, Reserve Bank of Australia.
- Ravi Jagannathan & Zhenyu Wang, 1996.
"The conditional CAPM and the cross-section of expected returns,"
208, Federal Reserve Bank of Minneapolis.
- Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
- Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003.
"Spurious Regressions in Financial Economics?,"
Journal of Finance,
American Finance Association, vol. 58(4), pages 1393-1414, 08.
- Alvin Tan & Graham Voss, 2003. "Consumption and Wealth in Australia," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 39-56, 03.
- Robert Faff & Barry Oliver, 1998. "Consumption versus market betas of Australian industry portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 513-517.
- Paul Gao & Kevin X. D. Huang, 2004.
"Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence,"
Research Working Paper
RWP 04-07, Federal Reserve Bank of Kansas City.
- Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
- Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, 04.
- Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010.
"Habit formation, surplus consumption and return predictability: International evidence,"
Journal of International Money and Finance,
Elsevier, vol. 29(7), pages 1237-1255, November.
- Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, Department of Economics and Business Economics, Aarhus University.
- Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
- Stuart Hyde & Mohamed Sherif, 2005. "Consumption Asset Pricing Models: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(3), pages 343-363, 06.
- Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
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