THE CONSUMPTION BASED ASSET PRICING MODEL - A NOTE ON POTENTIAL TESTS AND APPLICATIONS

被引：25

作者：

CORNELL, B

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1981年 / 9卷 / 01期

关键词：

D O I：

10.1016/0304-405X(81)90022-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：103 / 108

页数：6

相关论文

共 7 条

[1] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES
BREEDEN, DT
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) : 265 - 296
[2] INTERTEMPORAL CAPITAL ASSET PRICING MODEL
MERTON, RC
[J]. ECONOMETRICA, 1973, 41 (05) : 867 - 887
[3] OPTIMUM CONSUMPTION AND PORTFOLIO RULES IN A CONTINUOUS-TIME MODEL
MERTON, RC
[J]. JOURNAL OF ECONOMIC THEORY, 1971, 3 (04) : 373 - 413
[4] CRITIQUE OF ASSET PRICING THEORY TESTS .1. PAST AND POTENTIAL TESTABILITY OF THEORY
ROLL, R
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1977, 4 (02) : 129 - 176
[5] STATIONARY DISTRIBUTION OF RETURNS AND PORTFOLIO SEPARATION IN CAPITAL-MARKETS - FUNDAMENTAL CONTRADICTION
ROSENBERG, B
OHLSON, JA
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1976, 11 (03) : 393 - 402
[6] ARBITRAGE THEORY OF CAPITAL ASSET PRICING
ROSS, SA
[J]. JOURNAL OF ECONOMIC THEORY, 1976, 13 (03) : 341 - 360
[7] VALUATION OF UNCERTAIN INCOME STREAMS AND PRICING OF OPTIONS
RUBINSTEIN, M
[J]. BELL JOURNAL OF ECONOMICS, 1976, 7 (02): : 407 - 425