CAPM-anomalies: quantitative puzzles

DOI10.1007/S00199-018-1137-5zbMath1432.91128OpenAlexW2811326135WikidataQ129590578 ScholiaQ129590578MaRDI QIDQ2294119

Sabine Elmiger

Publication date: 10 February 2020

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-018-1137-5

zbMATH Keywords

CAPMCRRAvalue premiumbeta premiumsize premium

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Approximate CAPM when preferences are CRRA
• The Lucas Orchard
• Rare Disasters and Asset Markets in the Twentieth Century*
• Asset Prices in an Exchange Economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Common risk factors in the returns on stocks and bonds

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