𝔖 Bobbio Scriptorium
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ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK

✍ Scribed by Refet S. Gürkaynak


Book ID
110940526
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
132 KB
Volume
22
Category
Article
ISSN
0950-0804

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✍ Stuart Hyde; Mohamed Sherif 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 145 KB 👁 1 views

## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is