Journal of Financial Economics
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Опубликовано на портале: 31-03-2003Rene M. Stulz Journal of Financial Economics. 1981. Vol. 9. No. 4. P. 383-406.
Describes the construction of an intertemporal model of international asset pricing. Admission of differences in consumption opportunity sets across countries; Description of how the real expected excess return on a risky asset is proportional to the covariance of the return of that asset with changes in the world real consumption rate; Implication that asset markets are internationally segmented. (Из Ebsco)
Опубликовано на портале: 11-10-2004Robert E. Whaley Journal of Financial Economics. 1981. Vol. 9. No. 2. P. 207-211 .
Both the Roll and the Geske equations for the valuation of the American call option on a stock with known dividends are incorrectly specified. This note presents the corrected valuation formula, explains the misspecifications and provides a numerical example.
Опубликовано на портале: 07-02-2003B. Cornell Journal of Financial Economics. 1981. Vol. 9. No. 1. P. 103-8.
Examines the role of consumption in asset pricing. Collapse of a multi-beta capital asset pricing model into a single-beta model where betas are computed with respect to aggregate consumption; Role of consumption betas; Derivation of a single-beta pricing equation; Stationarity of the consumption betas; Inclusion of the covariance of the asset's return with aggregate real consumption. (Из Ebsco)