Long-run consumption risk with durable goods : UK evidence for equity and bond markets

Smith, Peter N.

http://hdl.handle.net/10400.21/5518

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Authors

Smith, Peter N.

Abstract(s)

"It is a widely accepted fact that the consumption-based capital asset pricing model (CCAPM) fails to provide a good explanation of many important features of the behaviour of financial market returns in a large range of countries over a long period of time. However, within a representative consumer/investor model, it is hard to see how the basic structure of the consumption based model can be safely abandoned." [introdução]

Keywords

Consumo Mercados financeiros

URI

http://hdl.handle.net/10400.21/5518

Citation

SMITH, Peter N. - Long-run consumption risk with durable goods : UK evidence for equity and bond markets. In: XII IBERIAN-ITALIAN CONGRESS OF FINANCIAL AND ACTUARIAL MATHEMATICS, Lisbon, 7th to 9th July 2011.