Asset pricing with long-run durable expenditure risk
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DOI: 10.1016/j.frl.2019.04.032
Abstract: Abstract Consumption capital asset pricing models (CCAPMs) have been the center of interest in the vast macrofinance literature. We suggest using fresh long-run durable expenditure growth data to study CCAPM and demonstrate that the durable… read more here.
Keywords: long run; asset pricing; durable expenditure; risk ... See more keywords