A Dynamic CAPM with Supply Effect: Theory and Empirical Results

DOI10.1142/9789811202391_0100zbMath1454.91318OpenAlexW4285658389MaRDI QIDQ5139538

Cheng-Few Lee, Alice C. Lee, Chiung-Min Tsai

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0100

zbMATH Keywords

endogenous supplysimultaneous equationsCAPMseemingly unrelated regression (SUR)quadratic costcost of capitalassetpartial adjustmentreduced-formexactly identified

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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