Cross-sectional consumption-based asset pricing: a reappraisal

DOI10.1016/J.ECONLET.2015.04.031zbMath1364.91061OpenAlexW3122010928MaRDI QIDQ529742

Stig V. Møller, Tom Engsted

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.04.031

zbMATH Keywords

beginning-of-period timing conventionconsumption-based modelsize and value premiums

Mathematics Subject Classification ID

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Optimal Inattention to the Stock Market With Information Costs and Transactions Costs
• Asset Prices in an Exchange Economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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