A class of models satisfying a dynamical version of the CAPM
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
|Date of creation:||2003|
|Publication status:||Published in Economic Letters, 2003, pp.299-304|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00167159|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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