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A test of the intertemporal CAPM in the Australian equity market

โœ Scribed by Robert Faff; Howard Chan


Book ID
117699598
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
125 KB
Volume
8
Category
Article
ISSN
1042-4431

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The Consumption Capital Asset Pricing Model (C-CAPM) is tested using data on equity prices in Jordan, Turkey, and Pakistan over the period 1986 -1993. The analysis is carried out in two steps. The parameters of agents' dynamic consumption and investment decisions are first estimated, and then the im