scholarly journals Asset Pricing with Countercyclical Household Consumption Risk

2014 ◽  
Author(s):  
George Constantinides ◽  
Anisha Ghosh
Keyword(s):  
Asset Pricing ◽  
Household Consumption ◽  
Consumption Risk

scholarly journals Asset Pricing with Countercyclical Household Consumption Risk

2017 ◽  
Vol 72 (1) ◽  
pp. 415-460 ◽  
Author(s):  
GEORGE M. CONSTANTINIDES ◽  
ANISHA GHOSH
Keyword(s):  
Asset Pricing ◽  
Household Consumption ◽  
Consumption Risk

Asset Pricing with Idiosyncratic Consumption Risk and Epstein-Zin Preferences

2011 ◽  
Author(s):  
Bernard Dumas ◽  
Semyon Malamud ◽  
Michael C. Nowotny
Keyword(s):  
Asset Pricing ◽  
Consumption Risk

Asset pricing and energy consumption risk

2019 ◽  
Vol 60 (4) ◽  
pp. 3813-3850
Author(s):  
Ashley Lim ◽  
Yihui Lan ◽  
Sirimon Treepongkaruna
Keyword(s):  
Energy Consumption ◽  
Asset Pricing ◽  
Consumption Risk

scholarly journals Global Asset Pricing: Is There a Role for Long-Run Consumption Risk?

2009 ◽  
Author(s):  
Maik Schmeling ◽  
Andreas Schrimpf ◽  
Jesper Rangvid
Keyword(s):  
Asset Pricing ◽  
Long Run ◽  
Consumption Risk

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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