Comment on “capm risk adjustment for exact aggregation over financial assets,” by barnett, LIU, and jensen

Macroeconomic Dynamics

Volumn 1, Issue 2, 1997, Pages 513-517

  Marshall, David A ^a  

^a FEDERAL RESERVE BANK OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 22044439923     PISSN: 13651005     EISSN: 14698056     Source Type: Journal    
DOI: 10.1017/S136510059700309X     Document Type: Article

References (9)

1. Bansal, R., D.A. Hsieh & S. Viswanathan (1993) A new approach to international arbitrage pricing. Journal of Finance 48, 1719–1748.
2. Barnett, W.A., Y. Liu & M. Jensen (1997) CAPM risk adjustment for exact aggregation over financial assets, this volume.
3. Bekaert, G., R.J. Hodrick & D.A. Marshall (1997) The implications of first-order risk aversion for asset market risk premiums. Journal of Monetary Economics (forthcoming).
4. Daniel, K. & D.A. Marshall (1997) The equity premium puzzle and the risk-free rate puzzle at long horizons, this volume.
5. Farnsworth, H., W. Ferson, D. Jackson, S. Todd & B. Yomtov (1995) Conditional Performance Eval-uation. Manuscript, University of Washington School of Business Administration.
6. Feenstra, R.C. (1986) Functional equivalence between liquidity costs and the utility of money. Journal of Monetary Economics 17, 271–291.
7. Hansen, L.P. & S.F. Richard (1987) The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica 55, 587–613.
8. Hodrick, R.J., Kocherlakota, N. & D. Lucas (1991) The variability of velocity in cash-in-advance models. Journal of Political Economy 99, 358–383.
9. Marshall, D.A. (1992) Inflation and asset returns in a monetary economy. Journal of Finance 47, 1315–1342.