C-CAPM and the Cross-Section of Sharpe Ratios
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More about this item
KeywordsCosumption-based asset pricing; habit persistence; recursive utility; idiosyncratic risk; multivariate GARCH;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-14 (All new papers)
- NEP-CFN-2003-12-14 (Corporate Finance)
- NEP-FIN-2003-12-14 (Finance)
- NEP-FMK-2003-12-14 (Financial Markets)
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