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An empirical comparison of alternative models of capital asset pricing in Germany

✍ Scribed by Andreas Sauer; Austin Murphy

Book ID
116134797
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
964 KB
Volume
16
Category
Article
ISSN
0378-4266

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## Abstract This paper studies the ability of a general class of habit‐based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and estimate it along with the rest of the model's finite dimensional