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Volumn 20, Issue 1, 1997, Pages 53-69

Intertemporal asset pricing without consumption data: Empirical tests

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EID: 0039630797     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1997.tb00236.x     Document Type: Article
Times cited : (4)

References (15)
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    • Bekaert, G.1    Harvey, C.R.2
  • 2
    • 0001077372 scopus 로고
    • Intertemporal asset pricing without consumption data
    • Campbell, J. Y., 1993a, Intertemporal asset pricing without consumption data, American Economic Review 83, 487–512.
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    • Campbell, J.Y.1
  • 4
    • 0000007521 scopus 로고
    • The dividend price ratio and expectations of future dividends and discount factors
    • Campbell, J. Y. and R. J. Shiller, 1988, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195–228.
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    • Campbell, J.Y.1    Shiller, R.J.2
  • 5
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    • An intertemporal general equilibrium model of asset prices
    • Cox, J. C., J. E. Ingersoll Jr., and S. A. Ross, 1985, An intertemporal general equilibrium model of asset prices, Econometrica 53, 363–84.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 6
    • 84935429666 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis
    • Epstein, L. and S. Zin, 1991, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis, Journal of Political Economy 99, 263–86.
    • (1991) Journal of Political Economy , vol.99 , pp. 263-286
    • Epstein, L.1    Zin, S.2
  • 7
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, E. F. and K. R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23–49.
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  • 8
    • 43949159894 scopus 로고
    • Finite sample properties of methods of moments in latent variable tests of asset pricing models
    • Ferson, W. E. and S. R. Forester, 1994, Finite sample properties of methods of moments in latent variable tests of asset pricing models, Journal of Financial Economics 36, 29–55.
    • (1994) Journal of Financial Economics , vol.36 , pp. 29-55
    • Ferson, W.E.1    Forester, S.R.2
  • 10
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L. P., 1982, Large sample properties of generalized method of moments estimators, Econometrica 50, 1029–84.
    • (1982) Econometrica , vol.50 , pp. 1029-1084
    • Hansen, L.P.1
  • 11
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, C. R., 1989, Time-varying conditional covariances in tests of asset pricing models, Journal of Financial Economics 24, 289–317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
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  • 14
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  • 15
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    • Hypothesis testing with efficient method of moments estimation
    • Newey, W. K. and K. D. West, 1987, Hypothesis testing with efficient method of moments estimation, International Economic Review 28, 777–87.
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    • Newey, W.K.1    West, K.D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.