Journal of Financial Economics
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Опубликовано на портале: 31-03-2003
Rene 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: 11-10-2004
Robert 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: 07-02-2003
B. 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)
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