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The conditional CAPM and the cross-section of expected returns. (1996). Wang, Zhenyu ; Jagannathan, Ravi.
In: Staff Report.
RePEc:fip:fedmsr:208.

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  86. Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. (2021). Aftab, Hira ; A. B. M. Rabiul Alam Beg, .
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  87. Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?. (2021). Zhang, Xiang ; Liu, Yangyi ; Wu, Kun ; Maillet, Bertrand.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:853-879.

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  88. Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies. (2021). Wang, LU.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:79:y:2021:i:c:p:272-280.

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  89. Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly. (2021). Salmon, Mark ; Rubesam, Alexandre ; Hwang, Soosung.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302746.

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  90. Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues.
    In: Journal of Financial Economics.
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  91. Frequency dependent risk. (2021). Neuhierl, Andreas ; Varneskov, Rasmus T.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

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  92. Common pricing across asset classes: Empirical evidence revisited. (2021). Gospodinov, Nikolay ; Robotti, Cesare.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:1:p:292-324.

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  93. The cross-section of currency volatility premia. (2021). Kozhan, Roman ; della Corte, Pasquale ; Neuberger, Anthony.
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    RePEc:eee:jfinec:v:139:y:2021:i:3:p:950-970.

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  94. Time-varying state variable risk premia in the ICAPM. (2021). Karehnke, Paul ; Barroso, Pedro ; Boons, Martijn.
    In: Journal of Financial Economics.
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  95. Aggregate Distress Risk and Equity Returns. (2021). Jiang, Xiaowen ; Guo, Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002478.

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  96. Stocks versus bonds for the long run when a riskless asset is available. (2021). Levy, Moshe.
    In: Journal of Banking & Finance.
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  97. The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x.

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  98. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000524.

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  99. The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Amihud, Yakov ; Noh, Joonki.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300744.

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  100. Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526.

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  101. Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Chiang, I-Hsuan Ethan ; Liao, Yin ; Zhou, Qing.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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  102. Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Ho, Kun ; Kim, Jinyong ; Lee, Jeonghwan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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  103. Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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  104. Further tests of asset pricing models: Liquidity risk matters. (2021). Ma, Xiuli ; Zhang, Xindong ; Liu, Weimin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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  105. The RQE-CAPM : New insights about the pricing of idiosyncratic risk. (2021). Moran, Kevin ; Koumou, Nettey Boevi Gilles ; Carmichael, Benoit.
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  106. Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola ; Barunik, Jozef.
    In: CERGE-EI Working Papers.
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  107. The Stock Market, Labor-Income Risk and Unemployment in the US: Empirical Findings and Policy Implications. (2021). Celebi, Kaan.
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    RePEc:bwu:eiiwdp:disbei291.

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  108. An Interpretable Neural Network for Parameter Inference. (2021). Pfitzinger, Johann.
    In: Papers.
    RePEc:arx:papers:2106.05536.

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  109. Currency Network Risk. (2021). Baruník, Jozef ; Babiak, Mykola.
    In: Papers.
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  110. Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis.
    In: Working Paper Series.
    RePEc:trr:qfrawp:202006.

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  111. The impact of UK household overconfidence in public information on house prices. (2020). Cho, Youngha ; Hwang, Soosung ; Shin, Jinho.
    In: Journal of Property Research.
    RePEc:taf:jpropr:v:37:y:2020:i:4:p:360-389.

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  112. The term structure of implied costs of equity capital. (2020). Lyle, Matthew R ; Callen, Jeffrey L.
    In: Review of Accounting Studies.
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  113. Role of human assets in measuring firm performance and its implication for firm valuation. (2020). Vuković, Darko ; Maiti, Moinak.
    In: Journal of Economic Structures.
    RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00223-3.

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  114. Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis Maher.
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  115. Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*. (2020). Gagliardini, Patrick ; Ronchetti, Diego.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:18:y:2020:i:2:p:333-394..

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  116. Beta and Coskewness Pricing: Perspective from Probability Weighting. (2020). Cui, Xiangyu ; Shi, Yun ; Zhou, Xunyu.
    In: SocArXiv.
    RePEc:osf:socarx:5rqhv_v1.

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  117. Beta and Coskewness Pricing: Perspective from Probability Weighting. (2020). Shi, Yun ; Zhou, Xunyu ; Cui, Xiangyu.
    In: SocArXiv.
    RePEc:osf:socarx:5rqhv.

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  118. The Effect of Managers on Systematic Risk. (2020). Schoar, Antoinette ; Zuo, Luo ; Yeung, Kelvin.
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  119. Charting a “Green Path” for Recovery from COVID-19. (2020). Sterner, Thomas ; Mukanjari, Samson.
    In: Environmental & Resource Economics.
    RePEc:kap:enreec:v:76:y:2020:i:4:d:10.1007_s10640-020-00479-0.

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  120. The CAPM with Measurement Error: ‘There’s life in the old dog yet!’. (2020). Anastasia, Simmet ; Winfried, Pohlmeier.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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  121. The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese.
    In: Management Science.
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  122. Observable implications of the conditional CAPM. (2020). de Oliveira Souza, Thiago.
    In: Discussion Papers on Economics.
    RePEc:hhs:sdueko:2020_013.

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  123. The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies. (2020). Monge, Manuel ; Gil-Alana, Luis.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:4:p:130-:d:455636.

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  124. Estimation of conditional asset pricing models with integrated variables in the beta specification. (2020). Kourogenis, Nikolaos ; Caporale, Guglielmo Maria ; Pittis, Nikitas ; Antypas, Antonios.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918303490.

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  125. European equity markets: Who is the truly representative investor?. (2020). Ferreropozo, Ricardo ; Suarez, Javier Rojo ; Alonso, Ana Belen.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346.

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  126. Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.

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  127. Beta uncertainty. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011.

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  128. The R&D anomaly: Risk or mispricing?. (2020). Leung, Woon Sau ; Mazouz, Khelifa ; Evans, Kevin P.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300820.

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  129. Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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  130. Term structure of discount rates for firms in the insurance industry. (2020). Zhao, Yanhui ; Lin, Xiao ; Giaccotto, Carmelo.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:95:y:2020:i:c:p:147-158.

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  131. Institutional investor sentiment, beta, and stock returns. (2020). Wang, Wenzhao.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318303684.

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  132. Beta and firm age. (2020). Chincarini, Ludwig B ; Moneta, Fabio ; Kim, Daehwan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:58:y:2020:i:c:p:50-74.

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  133. Communication and financial supervision: How does disclosure affect market stability?. (2020). Pacicco, Fausto ; Vena, Luigi ; Venegoni, Andrea.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:57:y:2020:i:c:p:1-15.

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  134. Time-varying beta in functional factor models: Evidence from China. (2020). Horvath, Lajos ; Liu, Zhenya.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301753.

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  135. The Fama-French’s five-factor model relation with interest rates and macro variables. (2020). Klotzle, Marcelo ; da Silveira, Claudio Henrique ; Figueiredo, Antonio Carlos ; Leite, Andre Luis.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300942.

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  136. A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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  137. Estimation of large dimensional conditional factor models in finance. (2020). Ossola, Elisa ; Gagliardini, Patrick ; Scaillet, Olivier.
    In: Handbook of Econometrics.
    RePEc:eee:ecochp:7a-219.

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  138. Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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  139. Conditional capital asset pricing model, long-run risk, and stock valuation. (2020). Assogbavi, Tov ; Gueyie, Jean-Pierre ; Bergeron, Claude.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-19-01100.

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  140. Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Martin-Valmayor, Miguel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8171.

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  141. Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis M.
    In: Papers.
    RePEc:arx:papers:2006.14023.

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  142. U.S. REITs: A Financial Economics Review as of 2018. (2019). Massimo, Coletta Cuono ; Francesco, Busato.
    In: Real Estate Management and Valuation.
    RePEc:vrs:remava:v:27:y:2019:i:2:p:20-32:n:2.

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  143. The Cost of Equity Capital in Stock Portfolios Listed on the Warsaw Stock Exchange Using the Classic CAPM. (2019). Stanisaw, Urbaski.
    In: Financial Internet Quarterly (formerly e-Finanse).
    RePEc:vrs:finiqu:v:15:y:2019:i:2:p:48-62:n:1.

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  144. Time-Series Momentum: A Monte-Carlo Approach. (2019). Cheng, Enoch ; Struck, Clemens C.
    In: Working Papers.
    RePEc:ucn:wpaper:201906.

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  145. Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model. (2019). Kapetanios, George ; Baillie, Richard T ; Calonaci, Fabio.
    In: Working Papers.
    RePEc:qmw:qmwecw:879.

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  146. Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize. (2019). Hanousek, Jan ; Hukova, Marie ; Trel, Jii ; Antoch, Jaromir.
    In: Politická ekonomie.
    RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1233:p:3-19.

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  147. Factor High-Frequency-Based Volatility (HEAVY) Models. (2019). Xu, Wen ; Sheppard, Kevin.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:17:y:2019:i:1:p:33-65..

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  148. Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26299.

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  149. Good Carry, Bad Carry. (2019). Bekaert, Geert ; Panayotov, George.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25420.

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  150. Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns. (2019). Erdugan, Riza ; Natoli, Riccardo ; Kulendran, Nada.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:33:y:2019:i:4:d:10.1007_s11408-019-00338-z.

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  151. Asset Growth, Profitability, and Investment Opportunities. (2019). Cooper, Ilan ; Maio, Paulo.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:9:p:3988-4010.

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  152. Estimation of large dimensional conditional factor models in finance. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick.
    In: Working Papers.
    RePEc:gnv:wpgsem:unige:125031.

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  153. Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach. (2019). Assani, Smael Afolabi ; Toure, Mohamed ; Konte, Mamadou ; Cisse, Mamadou.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:27-:d:204010.

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  154. Investigating ICAPM with mean-reverting dynamic conditional correlation: Evidence from an emerging stock exchange. (2019). Zakaria, Muhammad ; Iqbal, Khurram ; Mujtaba, Ghulam ; Rafique, Amir.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:525:y:2019:i:c:p:514-523.

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  155. A large-scale approach for evaluating asset pricing models. (2019). Barras, Laurent.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:3:p:549-569.

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  156. Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation. (2019). Roll, Richard ; Jegadeesh, Narasimhan ; Pukthuanthong, Kuntara ; Wang, Junbo ; Noh, Joonki.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:133:y:2019:i:2:p:273-298.

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  157. In search of preference shock risks: Evidence from longevity risks and momentum profits. (2019). Chen, Zhanhui ; Yang, Bowen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:133:y:2019:i:1:p:225-249.

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  158. Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Kan, Raymond ; Robotti, Cesare.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471.

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  159. Valuation of natural capital under uncertain substitutability. (2019). Gollier, Christian.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:94:y:2019:i:c:p:54-66.

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  160. A concave security market line. (2019). Post, Thierry ; de Giorgi, Enrico G ; Yalin, Atakan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:106:y:2019:i:c:p:65-81.

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  161. Asymmetric effect of style comovement on momentum. (2019). Chen, Miao-Ling ; Hsu, Ching-Chi.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:31:y:2019:i:c:p:146-154.

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  162. Tail risk and the consumption CAPM. (2019). Ho, JI.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:30:y:2019:i:c:p:69-75.

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  163. Conditional pricing of earnings quality. (2019). Zhang, Mingshan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:30:y:2019:i:c:p:306-313.

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  164. Extending the Hansen–Jagannathan distance measure of model misspecification. (2019). Xu, Yuewu ; Yao, Xiangkun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:29:y:2019:i:c:p:384-392.

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  165. Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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  166. Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas Nygaard.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

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  167. Alternative over-identifying restriction test in the GMM estimation of panel data models. (2019). Hayakawa, Kazuhiko.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:10:y:2019:i:c:p:71-95.

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  168. Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-19-00123.

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  169. Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14015.

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  170. A Supply and Demand Approach to Equity Pricing. (2019). Calvet, Laurent ; Betermier, Sebastien ; Jo, Evan.
    In: CEPR Discussion Papers.
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  171. Good Carry, Bad Carry. (2019). Bekaert, Geert ; Panayotov, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13463.

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  172. Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification. (2019). Kourogenis, Nikolaos ; Caporale, Guglielmo Maria ; Pittis, Nikitas ; Antypas, Antonios.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7969.

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  173. THE REACTIVE BETA MODEL. (2019). Aboura, Sofiane ; Valeyre, Sebastien ; Grebenkov, Denis.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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  174. Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil. (2019). Loncan, Tiago ; Hillier, David.
    In: European Financial Management.
    RePEc:bla:eufman:v:25:y:2019:i:1:p:181-206.

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  175. Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Walther, Simon ; Ulrich, Maxim ; Rothfuss, Jonas ; Ferreira, Fabio.
    In: Papers.
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  176. Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui.
    In: Papers.
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  177. Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2019). Anatolyev, Stanislav ; Mikusheva, Anna.
    In: Papers.
    RePEc:arx:papers:1807.04094.

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  178. Pricing sin stocks: Ethical preference vs. risk aversion. (2018). Gioffré, Alessandro ; Curatola, Giuliano ; Colonnello, Stefano ; Gioffre, Alessandro.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:216.

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  179. Risk and Return Trade-Offs in Lifetime Earnings. (2018). Dillon, Eleanor.
    In: Journal of Labor Economics.
    RePEc:ucp:jlabec:doi:10.1086/697475.

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  180. Valuation of natural capital under uncertain substitutability. (2018). Gollier, Christian.
    In: TSE Working Papers.
    RePEc:tse:wpaper:31743.

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  181. Global idiosyncratic risk moments. (2018). Baghdadabad, Mohammadreza Tavakoli ; Mallik, Girijasankar.
    In: Empirical Economics.
    RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1301-y.

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  182. Mutual Fund Characteristics and Investment Performance in India. (2018). .
    In: Management and Labour Studies.
    RePEc:sae:manlab:v:43:y:2018:i:1-2:p:1-30.

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  183. Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors. (2018). Iqbal, Javed.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:17:y:2018:i:2_suppl:p:s259-s281.

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  184. Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2018). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele.
    In: Journal of Financial Econometrics.
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  185. Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off. (2018). Chernov, Mikhail ; Lochstoer, Lars A.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25361.

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  186. Cross-sectional Skewness. (2018). Wachter, Jessica ; Oh, Simon.
    In: NBER Working Papers.
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  187. Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk/Dinámica de la Beta Bariónica: Un modelo Econofísico de Riesgo Sistemático. (2018). Chen, James Ming.
    In: Estudios de Economia Aplicada.
    RePEc:lrk:eeaart:36_1_18.

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  188. Consumption-based capital asset pricing models: issues and controversies. (2018). Choi, Wonnho.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0627-z.

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  189. An Intertemporal CAPM with stochastic volatility. (2018). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:69634.

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  190. Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. (2018). Ben Sita, Bernard.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:67:y:2018:i:c:p:28-35.

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  191. Interest rate risk and bank equity valuations. (2018). Zakrajšek, Egon ; Van den Heuvel, Skander ; English, William B ; Zakrajek, Egon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:98:y:2018:i:c:p:80-97.

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  192. An intertemporal CAPM with stochastic volatility. (2018). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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  193. The climate beta. (2018). Gollier, Christian ; Dietz, Simon ; Kessler, Louise.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:87:y:2018:i:c:p:258-274.

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  194. Economic activity and momentum profits: Further evidence. (2018). Maio, Paulo ; Philip, Dennis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:88:y:2018:i:c:p:466-482.

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  195. Higher-moment liquidity risks and the cross-section of stock returns. (2018). Kim, Soonho ; Na, Haejung.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:38:y:2018:i:c:p:39-59.

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  196. Investor sentiment: Does it augment the performance of asset pricing models?. (2018). Bredin, Don ; Bathia, Deven.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:59:y:2018:i:c:p:290-303.

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  197. A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

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  198. The re-pricing of sovereign risks following the Global Financial Crisis. (2018). Migiakis, Petros ; Malliaropulos, Dimitrios.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:49:y:2018:i:c:p:39-56.

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  199. CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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  200. Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Dubofsky, David ; Stivers, Chris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

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  201. A labor news hedge portfolio and the cross-section of expected stock returns. (2018). Stotz, Olaf.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:123-139.

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  202. The decomposition of jump risks in individual stock returns. (2018). Zhou, Chen ; Xiao, Xiao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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  203. Macroeconomic determinants of stock market betas. (2018). GONZALEZ SANCHEZ, MARIANO ; Nave, Juan ; Rubio, Gonzalo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

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  204. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing. (2018). Pedio, Manuela ; Guidolin, Massimo ; Giampietro, Marta.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:265:y:2018:i:2:p:685-702.

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  205. The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). Nix, Joan ; McNevin, Bruce D.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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  206. Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Jeyasreedharan, Nagaratnam ; Dungey, Mardi ; Chowdhury, Biplob.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47.

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  207. Conditional dynamics and the multi-horizon risk-return trade-off. (2018). Chernov, Mikhail ; Lundeby, Stig ; Lochstoer, Lars.
    In: CEPR Discussion Papers.
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  208. The Levered Equity Risk Premium and Credit Spreads: A Unified Framework. (2018). Bhamra, Harjoat ; Kuehn, Lars-Alexander ; Strebulaev, Ilya.
    In: CEPR Discussion Papers.
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  209. The Lost Capital Asset Pricing Model. (2018). Wilson, Mungo ; Cujean, Julien ; Andrei, Daniel.
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    RePEc:cpr:ceprdp:12607.

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  210. Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas.
    In: Financial Management.
    RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

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  211. Financial risk exposure of returns to education: Panel evidence from Korea*. (2018). Ihm, Jungjoon ; Lee, Jaeram.
    In: Asian Economic Journal.
    RePEc:bla:asiaec:v:32:y:2018:i:1:p:83-97.

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  212. Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan.
    In: Papers.
    RePEc:arx:papers:1711.04392.

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  213. Pricing sin stocks: Ethical preference vs. risk aversion. (2017). Gioffré, Alessandro ; Curatola, Giuliano ; Colonnello, Stefano ; Gioffre, Alessandro.
    In: IWH Discussion Papers.
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  214. Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Jeyasreedharan, Nagaratnam ; Dungey, Mardi ; Chowdhury, Biplob.
    In: Working Papers.
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  215. Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models. (2017). Cheung, Adrian (Wai-Kong).
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:42:y:2017:i:4:p:653-672.

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  216. Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan.
    In: Departmental Working Papers.
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  217. The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher.
    In: MPRA Paper.
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  218. Financial Crises and Risk Premia. (2017). Muir, Tyler.
    In: The Quarterly Journal of Economics.
    RePEc:oup:qjecon:v:132:y:2017:i:2:p:765-809..

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  219. Short- and Long-Horizon Behavioral Factors. (2017). Hirshleifer, David ; Daniel, Kent ; Sun, Lin.
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  220. Inference on Risk Premia in the Presence of Omitted Factors. (2017). Xiu, Dacheng ; Giglio, Stefano.
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  221. Asset Pricing and Excess Returns over the Market Return. (2017). Horenstein, Alex ; Ahn, Seung C.
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  222. The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM. (2017). Gharghori, Philip ; faff, robert ; Xiao, Yuchao ; Min, Byoung-Kyu.
    In: Journal of Business Ethics.
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  223. Risks and rewards for momentum and reversal portfolios. (2017). Li, Yuming.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0293-0.

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  224. On Asymmetric Market Model with Heteroskedasticity and Quantile Regression. (2017). Chen, Cathy W. S. ; Sriboonchitta, Songsak ; Li, Muyi.
    In: Computational Economics.
    RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9550-3.

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  225. Evaluating Consumption CAPM under Heterogeneous Preferences. (2017). Chang, Yoosoon ; Park, Joon ; Cui, Berg.
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  226. Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns. (2017). Engle, Robert ; Tang, YI ; Bali, Turan G.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:11:p:3760-3779.

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  227. Valuation of natural capital under uncertain substitutability. (2017). Gollier, Christian.
    In: IDEI Working Papers.
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  228. VECM and Variance Decomposition: An Application to the Consumption-Wealth Ratio. (2017). de Paul, Francois.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:9:y:2017:i:6:p:188-199.

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  229. The Classical Approaches to Testing the Unconditional CAPM: UK Evidence. (2017). Ul, Nafiz ; Laura, Mehnaz Roushan.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:9:y:2017:i:3:p:220-232.

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  230. Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market. (2017). Maldonado, Wilfredo ; Candido, Osvaldo ; Leiva, Wilfredo Fernando ; de Pinho, Andre Ricardo.
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    RePEc:gam:jijfss:v:5:y:2017:i:4:p:33-:d:121563.

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  231. Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond.
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  232. Companies intangibles: Unique versus generic. (2017). Parshakov, Petr ; Zavertiaeva, Marina.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:266-275.

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  233. Conditional asset pricing in international equity markets. (2017). Huynh, Thanh.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:168-189.

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  234. Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

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  235. Diversification of risk exposure through country mutual funds under alternative investment opportunities. (2017). Naka, Atsuyuki ; Noman, Abdullah.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:64:y:2017:i:c:p:215-227.

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  236. Looking beyond banks’ average interest rate risk: Determinants of high exposures. (2017). Entrop, O ; Wilkens, M ; von La, L.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:63:y:2017:i:c:p:204-218.

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  237. Investor sentiment and economic forces. (2017). Zhao, Shen ; Shen, Junyan ; Yu, Jianfeng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

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  238. The market price of risk of the variance term structure. (2017). Dotsis, George.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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  239. Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches. (2017). Ihm, Jungjoon ; Lee, Jaeram ; Ryu, Doojin.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:21:y:2017:i:c:p:53-56.

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  240. The cross-section of consumer lending risk. (2017). Desai, Chintal Ajitbhai.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:42:y:2017:i:c:p:256-282.

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  241. Ultimate consumption risk and investment-based stock returns. (2017). Kang, Jangkoo ; Lee, Changjun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:473-486.

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  242. The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?. (2017). Salisu, Afees ; Swaray, Raymond.
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  243. Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena.
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  244. Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

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  245. Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Pearanda, Francisco ; Sentana, Enrique ; Manresa, Elena.
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  246. Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2017_1711.

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  247. The Macroeconomic Shock with the Highest Price of Risk. (2017). Pinter, Gabor.
    In: Discussion Papers.
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  248. Detecting at-Most-m Changes in Linear Regression Models. (2017). Wang, Shixuan ; Pouliot, William ; Horvath, Lajos.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

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  249. MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

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  250. INTERTEMPORAL SUBSTITUTION IN CONSUMPTION: A LITERATURE REVIEW. (2017). Thimme, Julian.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:31:y:2017:i:1:p:226-257.

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  251. Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

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  252. Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Erdos, Peter ; Zibriczky, David.
    In: Papers.
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  253. A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick.
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  254. Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie.
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  255. Russian-Doll Risk Models. (2017). Kakushadze, Zura.
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  256. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Wang, Weining ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI.
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  257. Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk. (2016). Ferreira, Miguel ; Brown, David P.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:06:y:2016:i:01:n:s2010139216500026.

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  258. Crash Sensitivity and the Cross-Section of Expected Stock Returns. (2016). Ruenzi, Stefan ; Weigert, Florian.
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  259. Estimating security betas using prior information based on firm fundamentals. (2016). Frehen, Rik ; Bauer, Rob ; Schotman, Peter ; Cosemans, Mathijs.
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  260. Specification errors of asset-pricing models for a market characterized by few large capitalization firms. (2016). Virk, Nader ; Butt, Hilal .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:40:y:2016:i:1:p:68-84.

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  261. Systemic interest rate and market risk at US banks. (2016). Rohleder, Martin ; Wilkens, Marco ; Hausse, Ludwig .
    In: Journal of Business Economics.
    RePEc:spr:jbecon:v:86:y:2016:i:8:d:10.1007_s11573-016-0830-8.

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  262. Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters. (2016). Almeida, Caio ; Ornelas, Rafael ; Faria, Adriano.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:36:y:2016:i:1:a:51595.

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  263. Macro uncertainty and currency premia. (2016). della Corte, Pasquale ; Krecetovs, Aleksejs.
    In: 2016 Meeting Papers.
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  264. Macro Disagreement and the Cross-Section of Stock Returns. (2016). Li, Frank Weikai.
    In: The Review of Asset Pricing Studies.
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  265. Price of Long-Run Temperature Shifts in Capital Markets. (2016). Ochoa, Juan ; Bansal, Ravi ; Kiku, Dana.
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  266. Volatility Managed Portfolios. (2016). Muir, Tyler ; Moreira, Alan.
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  267. Is Idiosyncratic Risk Conditionally Priced?. (2016). Mehra, Rajnish ; Wahal, Sunil ; Xie, Daruo.
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  268. Time-Varying Betas of US REITs from 1972 to 2013. (2016). Sing, Tien Foo ; Chen, Ming-Chi ; Tsai, I-Chun.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:52:y:2016:i:1:p:50-72.

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  269. Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis. (2016). Aretz, Marc .
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  270. Investor Sentiment, Beta, and the Cost of Equity Capital. (2016). Doukas, John A ; Antoniou, Constantinos ; Subrahmanyam, Avanidhar.
    In: Management Science.
    RePEc:inm:ormnsc:v:62:y:2016:i:2:p:347-367.

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  271. Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2016). Ravazzolo, Francesco ; Bianchi, Daniele.
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  272. The size premium and intertemporal risk. (2016). de Oliveira Souza, Thiago.
    In: Discussion Papers on Economics.
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  273. Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns. (2016). Nielsen, Caren Yinxia ; Nielsen, Caren Yinxia Guo, .
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  274. Conditional Relationship Between Beta and Return in the US Stock Market. (2016). Xiao, Bing.
    In: Expert Journal of Business and Management.
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  275. The macroeconomic shock with the highest price of risk. (2016). Pintor, Gabor.
    In: LSE Research Online Documents on Economics.
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  276. Conditional interest rate risk and the cross-section of excess stock returns. (2016). Atanasov, Victoria.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:30:y:2016:i:c:p:23-32.

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  277. Does systematic distress risk drive the investment growth anomaly?. (2016). Su, Xuan-Qi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:61:y:2016:i:c:p:240-248.

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  278. Investigating temporal variation in the global and regional integration of African stock markets. (2016). Boamah, Nicholas Addai ; Loudon, Geoffrey ; Watts, Edward J.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:36:y:2016:i:c:p:103-118.

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  279. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. (2016). Bollerslev, Tim ; Todorov, Viktor ; Li, Sophia Zhengzi.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490.

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  280. The expected returns and valuations of private and public firms. (2016). Cooper, Ilan ; Priestley, Richard.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:1:p:41-57.

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  281. The cross-sectional variation of volatility risk premia. (2016). Rubio, Gonzalo ; Gonzalez-Urteaga, Ana.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:2:p:353-370.

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  282. The white squire defense: Evidence from private investments in public equity. (2016). Chen, Sheng-Syan ; Hsu, Ching-Yu ; Huang, Chia-Wei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:64:y:2016:i:c:p:16-35.

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  283. Can currency-based risk factors help forecast exchange rates?. (2016). Valente, Giorgio ; Liu, Xiaoquan ; Ahmed, Shamim.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:1:p:75-97.

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  284. Time-varying risk, mispricing attributes, and the accrual premium. (2016). Simlai, Prodosh E.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:150-161.

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  285. Some extensions of the CAPM for individual assets. (2016). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:44:y:2016:i:c:p:78-85.

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  286. The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns. (2016). Na, Haejung ; Kim, Dongcheol.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:39:y:2016:i:pa:p:37-53.

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  287. Capital asset pricing model: A time-varying volatility approach. (2016). Kim, Taejin ; Ho, Kun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:268-281.

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  288. On the properties of the constrained Hansen–Jagannathan distance. (2016). Gospodinov, Nikolay ; Kan, Raymond ; Robotti, Cesare.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:121-150.

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  289. Currency Premia and Global Imbalances. (2016). Sarno, Lucio ; Riddiough, Steven ; della Corte, Pasquale.
    In: CEPR Discussion Papers.
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  290. The macroeconomic shock with the highest price of risk. (2016). Pinter, Gabor.
    In: Bank of England working papers.
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  291. Testing Monotonicity in Unobservables with Panel Data. (2016). Su, Liangjun ; hoderlein, stefan ; White, Halbert.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:892.

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  292. Which Beta Is Best? On the Information Content of Option€ implied Betas. (2016). Saning, Sven ; Baule, Rainer ; Korn, Olaf.
    In: European Financial Management.
    RePEc:bla:eufman:v:22:y:2016:i:3:p:450-483.

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  293. Multifactor Risk Models and Heterotic CAPM. (2016). Kakushadze, Zura ; Yu, Willie.
    In: Papers.
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  294. Heterotic Risk Models. (2016). Kakushadze, Zura.
    In: Papers.
    RePEc:arx:papers:1508.04883.

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  295. Specialized human capital, unemployment risk, and the value premium. (2015). Jank, Stephan.
    In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113214.

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  296. Regional Economic Activity and Stock Returns. (2015). Smajlbegovic, Esad.
    In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:112854.

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  297. Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding. (2015). Dempsey, Michael.
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  298. In search of statistically valid risk factors. (2015). Bianchi, Stephen W. ; Anderson, Robert M. ; Goldberg, Lisa R..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:3:p:385-393.

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  299. A Combined Approach to the Inference of Conditional Factor Models. (2015). Su, Liangjun ; Xu, Yuewu ; Li, Yan.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:33:y:2015:i:2:p:203-220.

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  300. Learn Now, Save Later: College and Household Portfolios. (2015). Neelakantan, Urvi ; Athreya, Kartik ; Ionescu, Felicia.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:804.

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  301. Collateral-Based Asset Pricing. (2015). Steri, Roberto.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:293.

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  302. Currency Premia and Global Imbalances. (2015). Sarno, Lucio ; Riddiough, Steven ; della Corte, Pasquale.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:1215.

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  303. Consumption Volatility and the Cross-Section of Stock Returns. (2015). Tedongap, Romeo.
    In: Review of Finance.
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  304. Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor. (2015). Lin, Xiaoji ; Zhao, Xiaofei ; Belo, Frederico.
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  305. Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models. (2015). Zhang, Xibin ; GAO, Jiti ; Cheng, Tingting.
    In: Monash Econometrics and Business Statistics Working Papers.
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  306. On pricing options with stressed-beta in a reduced form model. (2015). Lee, Sungchul ; Lim, Hyuncheul ; Kim, Geonwoo.
    In: Review of Derivatives Research.
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  307. Regional Economic Activity and Stock Returns. (2015). Smajlbegovic, Esad.
    In: 2015 Papers.
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  308. Leverage and Stock Returns: Evidence from Istanbul Stock Exchange. (2015). Ozturk, Hakka ; Yilmaz, Ayse Altiok.
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  309. Macroeconomic Volatilities and Long-Run Risks of Asset Prices. (2015). Zhu, Yingzi ; Zhou, Guofu.
    In: Management Science.
    RePEc:inm:ormnsc:v:61:y:2015:i:2:p:413-430.

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  310. Portfolio Forming Decisions: The Role of Intangibles. (2015). Zavertiaeva, Marina.
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  311. Time-varying risk premium in large cross-sectional equity datasets. (2015). Scaillet, Olivier ; Ossola, Elisa ; Gagilardini, Patrick .
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  312. Time-varying risk premium in large cross-sectional equity datasets. (2015). Gagilardini, Patrick ; Scaillet, Olivier ; Ossola, Elisa.
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  313. Custom v. Standardized Risk Models. (2015). Kakushadze, Zura ; Liew, Jim Kyung-Soo.
    In: Risks.
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  314. Alternative errors-in-variables models and their applications in finance research. (2015). Lee, Cheng Few ; Chen, Hong-Yi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:58:y:2015:i:c:p:213-227.

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  315. How past market movements affect correlation and volatility. (2015). Schmidt, Wolfgang M. ; Becker, Christoph.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:50:y:2015:i:c:p:78-107.

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  316. Regression-based estimation of dynamic asset pricing models. (2015). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:2:p:211-244.

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  317. Value versus growth investing: Why do different investors have different styles?. (2015). Siegel, Stephan ; Cronqvist, Henrik ; Yu, Frank.
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    RePEc:eee:jfinec:v:117:y:2015:i:2:p:333-349.

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  318. On comparing zero-alpha tests across multifactor asset pricing models. (2015). Dhaene, Geert ; De Moor, Lieven ; Sercu, Piet.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s235-s240.

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  319. A semiparametric conditional capital asset pricing model. (2015). Ren, Yu ; CAI, ZONGWU ; Yang, Bingduo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:117-126.

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  320. Does return dispersion explain the accrual and investment anomalies?. (2015). Chichernea, Doina C ; Holder, Anthony D ; Petkevich, Alex.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:60:y:2015:i:1:p:133-148.

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  321. Value premium and implied equity duration in the Japanese stock market. (2015). Fukuta, Yuichi ; Yamane, Akiko.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:39:y:2015:i:c:p:102-121.

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  322. Equity volatility as a determinant of future term-structure volatility. (2015). Connolly, Robert ; Bansal, Naresh ; Stivers, Chris.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:25:y:2015:i:c:p:33-51.

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  323. Momentum and default risk. Some results using the jump component. (2015). Muga, Luis ; Santamaria, Rafael ; Gonzalez-Urteaga, Ana.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:185-193.

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  324. The dynamics of returns on renewable energy companies: A state-space approach. (2015). Trueck, Stefan ; Inchauspe, Julian ; Truck, Stefan ; Ripple, Ronald D..
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:325-335.

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  325. Market proxies as factors in linear asset pricing models: Still living with the roll critique. (2015). Prono, Todd.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:36-53.

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  326. Empirical evidence of conditional asset pricing in the Indian stock market. (2015). Das, Sudipta.
    In: Economic Systems.
    RePEc:eee:ecosys:v:39:y:2015:i:2:p:225-239.

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  327. Unexplained factors and their effects on second pass R-squared’s. (2015). Zhan, Zhaoguo ; Kleibergen, Frank.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:1:p:101-116.

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  328. Asset-pricing anomalies at the firm level. (2015). Cederburg, Scott ; ODoherty, Michael S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:1:p:113-128.

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  329. Aggregate volatility expectations and threshold CAPM. (2015). Salih, Aslihan ; ARISOY, Yakup ; Akdeniz, Levent ; Altay-Salih, Aslihan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:34:y:2015:i:c:p:231-253.

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  330. Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances. (2015). MONEVA, JOSE ; Salvador, M. ; Ortas, E..
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:27-51.

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  331. Uncertainty, irreversibility and the use of ‘rules of thumb’ in capital budgeting. (2015). Derregia, Mohsen ; Chittenden, Francis.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:47:y:2015:i:3:p:225-236.

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  332. Regression Based Estimation of Dynamic Asset Pricing Models. (2015). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10449.

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  333. Regulators Determination of Return on Equity in the Absence of Public Firms: The Case of Automobile Insurance in Ontario. (2015). Lazar, Fred ; Prisman, Eliezer Z.
    In: Risk Management and Insurance Review.
    RePEc:bla:rmgtin:v:18:y:2015:i:2:p:199-216.

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  334. 4-Factor Model for Overnight Returns. (2015). Kakushadze, Zura.
    In: Papers.
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  335. Custom v. Standardized Risk Models. (2015). Kakushadze, Zura ; Liew, Jim Kyung-Soo.
    In: Papers.
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  336. Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan.
    In: Applied Economics Journal.
    RePEc:aej:apecjn:v:22:y:2015:i:2:p:54-76.

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  337. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
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  338. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2014.

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  339. Sorting out commodity and macroeconomic risk in expected stock returns. (2014). Boons, M. F..
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  340. Common Risk Factors in Equity Markets. (2014). Atanasov, Victoria.
    In: Tinbergen Institute Discussion Papers.
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  341. Asset pricing with time-varying betas for stocks traded on S&P 500. (2014). Messis, Petros ; Zapranis, Achilleas.
    In: Applied Economics.
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  342. A new method for forming asset pricing factors from firm characteristics. (2014). Suh, Sangwon ; Song, Wonho ; Lee, Bong-Soo.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:28:p:3463-3482.

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  343. Investment Grade, Asset Prices and Changes in the Source of Systematic Risk. (2014). Rodrigues, Mauro ; Giovannetti, Bruno ; Mauro Rodrigues, Eduardo Ros, .
    In: Working Papers, Department of Economics.
    RePEc:spa:wpaper:2014wpecon5.

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  344. A Proposed Model to Behaviourally Pricing Risk. (2014). Peeperkorn, Jacques .
    In: Journal of Economics and Behavioral Studies.
    RePEc:rnd:arjebs:v:6:y:2014:i:6:p:477-487.

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  345. Risky, Lumpy Human Capital in Household Portfolios. (2014). Neelakantan, Urvi ; Athreya, Kartik ; Ionescu, Felicia.
    In: 2014 Meeting Papers.
    RePEc:red:sed014:1242.

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  346. Labor Heterogeneity and Asset Prices: the Importance of Skilled Labor. (2014). Lin, Xiaoji ; Belo, Frederico.
    In: 2014 Meeting Papers.
    RePEc:red:sed014:1231.

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  347. Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche. (2014). Drago, Carlo ; de Santis, Paola.
    In: MPRA Paper.
    RePEc:pra:mprapa:59381.

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  348. Capital Asset Pricing Model and Stochastic Volatility: A Case study of India. (2014). Demir, Ender ; Zhou, LU ; Fung, Ka Wai Terence, .
    In: MPRA Paper.
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  349. The conditional pricing of currency and inflation risks in Africas equity markets. (2014). Ojah, Kalu ; Kodongo, Odongo.
    In: MPRA Paper.
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  350. Does Human Capital Risk Explain The Value Premium Puzzle?. (2014). Sylvain, Serginio.
    In: MPRA Paper.
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  351. The state-dependent time variation in the value premium. (2014). Sharaiha, Yazid M ; Johansson, Kristoffer Kittilsen.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:15:y:2014:i:2:d:10.1057_jam.2014.16.

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  352. Factor High-Frequency Based Volatility (HEAVY) Models. (2014). Sheppard, Kevin.
    In: Economics Series Working Papers.
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  353. Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances. (2014). Hodrick, Robert ; Hedegaard, Esben .
    In: NBER Working Papers.
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  354. ¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish St. (2014). GRAU-GRAU, ALFREDO JUAN .
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  355. Conditioning information and cross-sectional anomalies. (2014). Gubellini, Stefano.
    In: Review of Quantitative Finance and Accounting.
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  356. Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. (2014). Schlueter, Tobias ; Sievers, Soenke.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:42:y:2014:i:3:p:535-570.

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  357. The evolution of capital asset pricing models. (2014). Lee, Cheng Few ; Shih, Yi-Cheng ; Chen, Sheng-Syan.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:42:y:2014:i:3:p:415-448.

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  358. Performance of Portfolios Composed of British SRI Stocks. (2014). Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; McIntosh, Graham.
    In: Journal of Business Ethics.
    RePEc:kap:jbuset:v:120:y:2014:i:3:p:335-362.

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  359. An empirical investigation of asset pricing models under divergent lending and borrowing rates. (2014). Hammami, Yacine.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:28:y:2014:i:3:p:263-279.

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  360. The sensitivity of Fama-French factors to economic uncertainty. (2014). Moussa, Zakaria ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Working Papers.
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  361. Linkages and Performance Comparison among Eastern Europe Stock Markets. (2014). Soares da Fonseca, José.
    In: Notas Económicas.
    RePEc:gmf:journl:y:2014:i:39:p:73-83.

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  362. CEO job security and risk-taking. (2014). Cziraki, Peter ; Xu, Moqi.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:55909.

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  363. Style and performance of international socially responsible funds in Europe. (2014). Leite, Paulo ; Cortez, Maria Ceu.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:248-267.

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  364. A time-varying perspective on the CAPM and downside betas. (2014). Chen, Ming-Chi ; Tsai, Hsiu-Jung ; Yang, Chih-Yuan.
    In: International Review of Economics & Finance.
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  365. Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation. (2014). Fletcher, Jonathan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:30-46.

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  366. Income hedging and portfolio decisions. (2014). Bonaparte, Yosef ; Korniotis, George M. ; Kumar, Alok.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:113:y:2014:i:2:p:300-324.

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  367. Composition of wealth, conditioning information, and the cross-section of stock returns. (2014). Roussanov, Nikolai.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:111:y:2014:i:2:p:352-380.

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  368. Time-varying expected momentum profits. (2014). Roh, Tai-Yong ; Byun, Suk-Joon ; Kim, Dongcheol ; Min, Byoung-Kyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:191-215.

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  369. Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence. (2014). Huang, Lin ; Wang, Zijun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:219-232.

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  370. Human capital, household capital and asset returns. (2014). Yuan, Yufei ; Ren, Yu ; Zhang, Yang.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:42:y:2014:i:c:p:11-22.

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  371. An intertemporal capital asset pricing model with bank credit growth as a state variable. (2014). Hammami, Yacine ; Lindahl, Anna .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:39:y:2014:i:c:p:14-28.

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  372. Performance persistence in fixed interest funds: With an eye on the post-debt crisis period. (2014). Alexakis, Christos ; Grose, Chris ; Dasilas, Apostolos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:155-182.

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  373. Commodity index trading and hedging costs. (2014). Brunetti, Celso ; Reiffen, David.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:21:y:2014:i:c:p:153-180.

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  374. Optimal portfolio choice for investors with industry-specific labor income risks. (2014). Wu, Yangru ; Tsai, Hui-Ju.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:4:p:429-436.

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  375. Bankruptcy risk induced by career concerns of regulators. (2014). Charles-Cadogan, G. ; Cole, John A..
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:3:p:259-271.

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  376. What drives stochastic risk aversion?. (2014). Cho, Sungjun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:44-63.

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  377. Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns. (2014). MORANA, CLAUDIO.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:64-79.

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  378. Conditional pricing of currency risk in Africas equity markets. (2014). Ojah, Kalu ; Kodongo, Odongo.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:21:y:2014:i:c:p:133-155.

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  379. Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange. (2014). Gomez-Gonzalez, Jose ; Sanabria-Buenaventura, Elioth Mirsha .
    In: Economic Systems.
    RePEc:eee:ecosys:v:38:y:2014:i:2:p:261-268.

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  380. On the properties of the coefficient of determination in regression models with infinite variance variables. (2014). Loretan, Mico ; Kurz-Kim, Jeong-Ryeol.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:181:y:2014:i:1:p:15-24.

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  381. The conditional equity premium, cross-sectional returns and stochastic volatility. (2014). Lau, Chi Keung ; Chan, Kwok Ho ; Lau, Chi Keung Marco, ; Fung, Ka Wai Terence, .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:316-327.

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  382. The Dynamics of Appraisal Smoothing. (2014). Hwang, Soosung ; Cho, Youngha ; Lee, Yong-Ki.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:42:y:2014:i:2:p:497-529.

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  383. Agency€ Based Asset Pricing and the Beta Anomaly. (2014). Blitz, David.
    In: European Financial Management.
    RePEc:bla:eufman:v:20:y:2014:i:4:p:770-801.

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  384. Risk Interpretation of the CAPMs Beta: Evidence from a New Research Method. (2014). Bilinski, Pawel ; Lyssimachou, Danielle.
    In: Abacus.
    RePEc:bla:abacus:v:50:y:2014:i:2:p:203-226.

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  385. Unexplained factors and their effects on second pass R-squared’s. (2014). Zhan, Zhaoguo ; Kleibergen, Frank.
    In: UvA-Econometrics Working Papers.
    RePEc:ame:wpaper:1405.

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  386. Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns. (2014). Bollerslev, Tim ; Todorov, Viktor ; Li, Sophia Zhengzi.
    In: CREATES Research Papers.
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  390. Some Recent Developments in Nonparametric Finance. (2013). CAI, ZONGWU ; Hong, Yongmiao.
    In: Working Papers.
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  391. Functional Coefficient Models for Economic and Financial Data. (2013). CAI, ZONGWU.
    In: Working Papers.
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  392. Common Risk Factors of Infrastructure Firms. (2013). Eling, Martin ; Ben Ammar, Semir.
    In: Working Papers on Finance.
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  393. Applying the CAPM and the Fama--French models to the BRVM stock market. (2013). Yao Djifa N'sougan, ; Diop, Ousmane ; Soumare, Issouf ; Amenounve, Edoh Kossi ; Meite, Dramane .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:4:p:275-285.

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  394. Consumption, change in expectations and equity returns. (2013). Quijano, Margot.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:24:p:1839-1851.

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  395. Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?. (2013). Waszczuk, Antonina .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:19:p:1497-1508.

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  396. Time-varying beta: a boundedly rational equilibrium approach. (2013). He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:23:y:2013:i:3:p:609-639.

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  397. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
    In: MPRA Paper.
    RePEc:pra:mprapa:53745.

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  398. The Conditional CAPM, Cross-Section Returns and Stochastic Volatility. (2013). Lau, Chi Keung ; Fung, Ka Wai Terence ; Chan, Kwok Ho ; Lau, Chi Keung Marco, ; Fung, Ka Wai Terence, .
    In: MPRA Paper.
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  399. Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models. (2013). Li, Degui ; GAO, Jiti ; Chen, Xiangjin B. ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
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  400. Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns. (2013). Engle, Robert ; Tang, YI ; Bali, Turan G..
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
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  401. The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?. (2013). Silva, Florinda ; Areal, Nelson ; Cortez, Maria .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:27:y:2013:i:4:p:397-429.

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  402. An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl.
    In: Annals of Finance.
    RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215.

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  403. Intertemporal CAPM with Conditioning Variables. (2013). Maio, Paulo.
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:1:p:122-141.

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  404. The Influence of Foreign Portfolio Investment on Domestic Stock Returns: Evidence from Taiwan. (2013). Chun- Pin Hsu, .
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:7:y:2013:i:3:p:1-11.

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  405. Company intangibles: creation vs absorption. (2013). Parshakov, Petr ; Zavertiaeva, Marina ; Oskolkova, Marina A..
    In: HSE Working papers.
    RePEc:hig:wpaper:25/fe/2013.

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  406. Is Default Risk Priced in Equity Returns?. (2013). Nielsen, Caren Yinxia ; Yinxia G. Nielsen , Caren, .
    In: Knut Wicksell Working Paper Series.
    RePEc:hhs:luwick:2013_002.

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  407. The persistence of European mutual fund performance. (2013). Vidal-Garcia, Javier.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:28:y:2013:i:c:p:45-67.

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  408. Commonality in individuals trading: A systematic path between behavioral bias and expected returns. (2013). Chae, Joon ; Yang, Cheol-Won.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:21:y:2013:i:1:p:1008-1023.

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  409. The investment manifesto. (2013). Zhang, Lu ; Lin, Xiaoji.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:3:p:351-366.

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  410. The smallest firm effect: An international study. (2013). De Moor, Lieven ; Sercu, Piet.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:32:y:2013:i:c:p:129-155.

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  411. Limits to arbitrage and hedging: Evidence from commodity markets. (2013). Ramadorai, Tarun ; Acharya, Viral ; Lochstoer, Lars A..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:2:p:441-465.

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  412. The “out-of-sample” performance of long run risk models. (2013). Xie, Biqin ; Ferson, Wayne ; Nallareddy, Suresh.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:3:p:537-556.

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  413. Growth to value: Option exercise and the cross section of equity returns. (2013). Ai, Hengjie ; Kiku, Dana.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:2:p:325-349.

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  414. Estimating and testing beta pricing models on industries. (2013). Hammami, Yacine ; Lindahl, Anna .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:69:y:2013:i:c:p:45-63.

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  415. Saving-based asset-pricing. (2013). Smith, William T. ; Schneider, Johannes ; Dreyer, Johannes K..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3704-3715.

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  416. Rewards for downside risk in Asian markets. (2013). Murray, Louis ; Alles, Lakshman.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2501-2509.

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  417. A behavioral explanation of the value anomaly based on time-varying return reversals. (2013). Rubesam, Alexandre ; Hwang, Soosung.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2367-2377.

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  418. Inference in asset pricing models with a low-variance factor. (2013). Shang, Hua (Helen).
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:1046-1060.

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  419. Pricing innovations in consumption growth: A re-evaluation of the recursive utility model. (2013). Gharghori, Philip ; faff, robert ; Xiao, Yuchao ; Min, Byoung-Kyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4465-4475.

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  420. The consumption–wealth ratio, real estate wealth, and the Japanese stock market. (2013). Iwaisako, Tokuo ; Aono, Kohei.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:25-26:y:2013:i::p:39-51.

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  421. Cost of capital and earnings transparency. (2013). Konchitchki, Yaniv ; Landsman, Wayne R. ; Barth, Mary E..
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:55:y:2013:i:2:p:206-224.

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  422. Advances in Consumption-Based Asset Pricing: Empirical Tests. (2013). Ludvigson, Sydney C.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-799-906.

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  423. Accruals quality, stock returns and asset pricing: Evidence from the UK. (2013). Jaafar, Aziz ; Goddard, John ; Mouselli, Sulaiman.
    In: International Review of Financial Analysis.
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  424. Do the production-based factors capture the time-varying patterns in stock returns?. (2013). Kang, Jangkoo ; Lee, Changjun.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:15:y:2013:i:c:p:122-135.

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  425. Panel data models with multiple time-varying individual effects. (2013). Lee, Young Hoon ; Ahn, Seung ; Schmidt, Peter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:174:y:2013:i:1:p:1-14.

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  426. Chi-squared tests for evaluation and comparison of asset pricing models. (2013). Gospodinov, Nikolay ; Kan, Raymond ; Robotti, Cesare.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:108-125.

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  427. A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management. (2013). Lisi, Francesco ; Caporin, Massimiliano.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:236-249.

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  428. A core–periphery framework in stock markets of the euro zone. (2013). Ramos, Sofia ; Dias, Jose G..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:35:y:2013:i:c:p:320-329.

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  429. CAPM, Components of Beta and the Cross Section of Expected Returns. (2013). Cenesizoglu, Tolga ; Reeves, Jonathan J..
    In: CIRANO Working Papers.
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  430. CONSUMPTION, MONEY, INTRATEMPORAL SUBSTITUTION, AND CROSS-SECTIONAL ASSET RETURNS. (2013). Gu, LI ; Huang, Dayong.
    In: Journal of Financial Research.
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  431. Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns. (2013). Eiling, Esther.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:68:y:2013:i:1:p:43-84.

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  432. Bankruptcy Risk Induced by Career Concerns of Regulators. (2013). Charles-Cadogan, G. ; Cole, John A..
    In: Papers.
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  433. Insider trading, shareholder activism, and corporate policies. (2012). Cziraki, P..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:f54b4af1-7cb1-401f-a44a-879fd50cec69.

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  434. Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information. (2012). Klinkowska, Olga ; Gonzalez, Angelica ; Abhyankar, Abhay.
    In: 2012 Meeting Papers.
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  435. Asset pricing with a bank risk factor. (2012). Rua, António ; Pereira, Joo Pedro.
    In: Working Papers.
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  436. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: NBER Working Papers.
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  437. Tail Risk in Momentum Strategy Returns. (2012). Jagannathan, Ravi ; Daniel, Kent ; Kim, Soohun.
    In: NBER Working Papers.
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  438. Volatility, the Macroeconomy and Asset Prices. (2012). Yaron, Amir ; Bansal, Ravi ; Shaliastovich, Ivan ; Kiku, Dana.
    In: NBER Working Papers.
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  439. The Out of Sample Performance of Long-run Risk Models. (2012). Xie, Biqin ; Ferson, Wayne ; Nallareddy, Suresh K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17848.

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  440. The capital asset pricing model versus the three factor model: A United Kingdom Perspective. (2012). Ramlogan, Riad ; Bhatnagar, Chandra Shekhar.
    In: International Journal of Business and Social Research.
    RePEc:mir:mirbus:v:2:y:2012:i:1:p:51-65.

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  441. The capital asset pricing model versus the three factor model: A United Kingdom Perspective. (2012). Ramlogan, Riad ; Bhatnagar, Chandra Shekhar.
    In: International Journal of Business and Social Research.
    RePEc:lrc:larijb:v:2:y:2012:i:1:p:51-65.

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  442. Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps. (2012). Fan, Gang-Zhi ; Ong, Seow ; Pu, Ming.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:44:y:2012:i:4:p:543-569.

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  443. International Real Estate Mutual Fund Performance: Diversification or Costly Information?. (2012). Lin, Zong-Han ; Shen, Yang-Pin ; Lu, Chiuling.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:44:y:2012:i:3:p:394-413.

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  444. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

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  445. Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity. (2012). Yu, Philip ; Chen, Cathy W. S. ; Lin, Simon.
    In: Computational Economics.
    RePEc:kap:compec:v:40:y:2012:i:1:p:19-48.

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  446. Option pricing under a stressed-beta model. (2012). Fouque, Jean-Pierre ; Tashman, Adam .
    In: Annals of Finance.
    RePEc:kap:annfin:v:8:y:2012:i:2:p:183-203.

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  447. Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, HCAPM and CCAPM?. (2012). Auer, Benjamin R..
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:232:y:2012:i:5:p:518-544.

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  448. On the Conditional Risk and Performance of Financially Distressed Stocks. (2012). O'Doherty, Michael S..
    In: Management Science.
    RePEc:inm:ormnsc:v:58:y:2012:i:8:p:1502-1520.

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  449. Testing for the stochastic dominance efficiency of a given portfolio. (2012). Whang, Yoon-Jae ; LINTON, OLIVER.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:27/12.

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  450. Performance of Portfolios Composed of British SRI Stocks. (2012). Brzeszczynski, Janusz ; McIntosh, Graham.
    In: CFI Discussion Papers.
    RePEc:hwe:cfidps:1202.

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  451. Interest rate risk and bank equity valuations. (2012). Zakrajšek, Egon ; Van den Heuvel, Skander ; English, William B. ; Zakrajsek, Egon.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-26.

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  452. Time dependent behavior of the Asian and the US REITs around the subprime crisis. (2012). Chang, Chien-Yun.
    In: Journal of Property Investment & Finance.
    RePEc:eme:jpifpp:v:30:y:2012:i:3:p:282-303.

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  453. Asset pricing with idiosyncratic risk: The Spanish case. (2012). Miralles Marcelo, Jose ; Miralles Quirós, José ; Miralles-Quiros, Maria del Mar, ; Miralles-Marcelo, Jose Luis.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:21:y:2012:i:1:p:261-271.

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  454. Evaluating asset pricing models in the Korean stock market. (2012). Kim, Dongcheol ; Shin, Hyun-Soo .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:2:p:198-227.

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  455. Multifactor models and their consistency with the ICAPM. (2012). Santa-Clara, Pedro ; Maio, Paulo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:586-613.

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  456. Testing conditional factor models. (2012). Kristensen, Dennis ; Ang, Andrew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:1:p:132-156.

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  457. Hedging labor income risk. (2012). Jansson, Thomas ; Betermier, Sebastien ; Walden, Johan ; Parlour, Christine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:3:p:622-639.

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  458. CAPM for estimating the cost of equity capital: Interpreting the empirical evidence. (2012). Jagannathan, Ravi ; Da, Zhi ; Guo, Re-Jin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:103:y:2012:i:1:p:204-220.

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  459. Private investment and public equity returns. (2012). Wu, Wei ; Couch, Robert.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:64:y:2012:i:2:p:160-184.

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  460. Bounds on the autocorrelation of admissible stochastic discount factors. (2012). Chrtien, Stphane.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1943-1962.

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  461. Downside risk aversion, fixed-income exposure, and the value premium puzzle. (2012). Vliet, Pim ; van Vliet, Pim ; Baltussen, Guido ; Post, Gerrit T..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:12:p:3382-3398.

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  462. The role of data limitations, seasonality and frequency in asset pricing models. (2012). Murtazashvili, Irina ; Vozlyublennaia, Nadia .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:555-574.

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  463. Do expected business conditions explain the value premium?. (2012). Fong, Wai Mun.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:181-206.

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  464. Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims. (2012). zhang, xiaoyan ; Wang, Zhenyu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:1:p:65-78.

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  465. Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil. (2012). MONEVA, JOSE ; Salvador, Manuel ; Ortas, Eduardo.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:4:p:581-597.

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  466. Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM. (2012). Urbaski, Stanisaw.
    In: Economic Systems.
    RePEc:eee:ecosys:v:36:y:2012:i:4:p:552-570.

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  467. Assessing misspecified asset pricing models with empirical likelihood estimators. (2012). Garcia, René ; Almeida, Caio.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:2:p:519-537.

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  468. Empirical Cross-Sectional Asset Pricing. (2012). Nagel, Stefan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9227.

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  469. The Wealth-Consumption Ratio. (2012). Verdelhan, Adrien ; Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9022.

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  470. Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns. (2012). Simlai, Pradosh.
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:10:y:2012:i:3:p:291-315.

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  471. The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach. (2012). Zhou, Zhong-Guo ; Chung, Peter Y..
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:16:y:2012:i:1:n:6.

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  472. Two Paradigms and Nobel Prizes in Economics: a Contradiction or Coexistence?. (2012). Hens, Thorsten ; Levy, Haim ; de Giorgi, Enrico G.
    In: European Financial Management.
    RePEc:bla:eufman:v:18:y:2012:i:2:p:163-182.

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  473. Testing for the stochastic dominance efficiency of a given portfolio. (2012). Whang, Yoon-Jae ; LINTON, OLIVER.
    In: CeMMAP working papers.
    RePEc:azt:cemmap:27/12.

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  474. The International CAPM When Expected Returns Are Time-Varying. (2012). Ng, David ; Ng, David T. C., .
    In: Working Papers.
    RePEc:ags:cudawp:127283.

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  475. Determinants of expected stock returns: Large sample evidence from the German market. (2011). Artmann, Sabine ; Finter, Philipp ; Kempf, Alexander.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1001r.

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  476. Essays on asset pricing. (2011). Londono Yarce, J. M., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:744a2ac5-7ada-4fa8-a7aa-e39f73002ee2.

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  477. Multi-regime nonlinear capital asset pricing models. (2011). Chen, Cathy W. S. ; Gerlach, Richard H. ; Cathy W. S. Chen, ; Ann M. H. Lin, .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:9:p:1421-1438.

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  478. Building proxies that capture time-variation in expected returns using a VAR approach. (2011). Sousa, Ricardo.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:3:p:147-163.

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  479. Time variation of CAPM betas across market volatility regimes. (2011). Morley, James ; Abdymomunov, Azamat.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:19:p:1463-1478.

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  480. Stock returns and consumption factors in the Australian market: Cross-sectional tests. (2011). Roca, Eduardo.
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:36:y:2011:i:2:p:247-266.

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  481. Broker-Dealer Leverage and the Cross-Section of Stock Returns. (2011). Etula, Erkko ; Adrian, Tobias ; Muir, Tyler.
    In: 2011 Meeting Papers.
    RePEc:red:sed011:1448.

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  482. When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models. (2011). Prono, Todd.
    In: MPRA Paper.
    RePEc:pra:mprapa:33593.

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  483. An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis. (2011). Vo, Xuan Vinh ; Batten, Jonathan.
    In: MPRA Paper.
    RePEc:pra:mprapa:29862.

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  484. Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets. (2011). Sousa, Ricardo ; Caporale, Guglielmo Maria.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:32/2011.

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  485. Testing Conditional Factor Models. (2011). Kristensen, Dennis ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17561.

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  486. Covariances versus Characteristics in General Equilibrium. (2011). Zhang, Lu ; Lin, Xiaoji.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17285.

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  487. The option CAPM and the performance of hedge funds. (2011). Garcia, René ; Diez de los Rios, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:137-167.

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  488. Forecasting Japanese Stock Returns with Financial Ratios and Other Variables. (2011). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:18:y:2011:i:4:p:373-384.

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  489. The Smallest Firm Effect: an International Study. (2011). De Moor, Lieven ; Sercu, Piet.
    In: Working Papers.
    RePEc:hub:wpecon:201118.

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  490. Hedging Labor Income Risk. (2011). Jansson, Thomas ; Betermier, Sebastien ; Walden, Johan ; Parlour, Christine A..
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0255.

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  491. An empirical investigation of consumption-based asset pricing models with stochastic habit formation. (2011). Grishchenko, Olesya ; Dai, Qiang.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-47.

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  492. Testing Multi-Factor Asset Pricing Models in the Visegrad Countries. (2011). Morgese Borys, Magdalena ; Borys, Magdalena Morgese Borys, .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:61:y:2011:i:2:p:118-139.

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  493. International diversification and industry-related labor income risk. (2011). Nicodano, Giovanna ; Giofre', Maela ; Fugazza, Carolina.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:764-783.

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  494. The cyclical behavior of the risk of value strategy: Evidence from Taiwan. (2011). Huang, I-Hsiang, .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:19:y:2011:i:4:p:404-419.

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  495. An alternative measure of the world market portfolio: Determinants, efficiency, and information content. (2011). Clark, Ephraim ; Kassimatis, Konstantinos.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:5:p:724-748.

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  496. Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas. (2011). Fisher, Adlai ; Boguth, Oliver ; Carlson, Murray ; Simutin, Mikhail.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:2:p:363-389.

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  497. Tracking down distress risk. (2011). Kapadia, Nishad.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:1:p:167-182.

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  498. Real investment and risk dynamics. (2011). priestley, richard ; Cooper, Ilan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:182-205.

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  499. On the characteristics and performance of long-short, market-neutral and bear mutual funds. (2011). Gubellini, S. ; Badrinath, S. G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:7:p:1762-1776.

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  500. A conditional asset-pricing model with the optimal orthogonal portfolio. (2011). Asgharian, Hossein.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1027-1040.

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  501. Future labor income growth and the cross-section of equity returns. (2011). Kim, Dongcheol ; Min, Byoung-Kyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:67-81.

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  502. Conditional beta pricing models: A nonparametric approach. (2011). Orbe, Susan ; Gil-Bazo, Javier ; Ferreira, Eva.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3362-3382.

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  503. Is size dead? A review of the size effect in equity returns. (2011). van Dijk, Mathijs.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3263-3274.

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  504. Macroeconomic risk and the cross-section of stock returns. (2011). Kim, Tong Suk ; Kang, Jangkoo ; Lee, Changjun ; Min, Byoung-Kyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3158-3173.

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  505. Joint conditionality in testing the beta-return relationship: Evidence based on the UK stock market. (2011). Morelli, David.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:1:p:1-13.

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  506. Nonparametric estimation and testing of stochastic discount factor. (2011). Yuan, Yufei ; Ren, Yu ; Fang, Ying.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:4:p:196-205.

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  507. Testing conditional factor models: A nonparametric approach. (2011). Yang, Liyan ; Li, Yan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:5:p:972-992.

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  508. The critical role of conditioning information in determining if value is really riskier than growth. (2011). Gubellini, Stefano ; Cooper, Michael J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:289-305.

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  509. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:248-270.

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  510. On the estimation of asset pricing models using univariate betas. (2011). Kan, Raymond ; Robotti, Cesare.
    In: Economics Letters.
    RePEc:eee:ecolet:v:110:y:2011:i:2:p:117-121.

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  511. Back to fundamentals: The role of expected cash flows in equity valuation. (2011). Foerster, Stephen R. ; Sapp, Stephen G..
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:22:y:2011:i:3:p:320-343.

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  512. Non-parametric and semi-parametric asset pricing. (2011). Ormos, Mihály ; Erdos, Peter ; Zibriczky, David.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:3:p:1150-1162.

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  513. Covariances versus Characteristics in General Equilibrium. (2011). Zhang, Lu ; Lin, Xiaoji.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-15.

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  514. Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets. (2011). Sousa, Ricardo ; Caporale, Guglielmo Maria ; Souza, Ricardo M..
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1159.

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  515. On the Scope and Drivers of the Asset Growth Effect. (2011). Mortal, Sandra ; Schill, Michael J. ; Lipson, Marc L..
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:46:y:2012:i:06:p:1651-1682_00.

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  516. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

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  517. Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets. (2011). Sousa, Ricardo ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3601.

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  518. A FINANCE APPROACH TO ESTIMATING CONSUMPTION PARAMETERS. (2011). Hasanov, Fuad ; DACY, DOUGLAS .
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:49:y:2011:i:1:p:122-154.

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  519. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-35.

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  520. Time-Varying Beta: A Boundedly Rational Equilibrium Approach. (2010). He, Xuezhong (Tony) ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:275.

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  521. Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs. (2010). Shi, Lei.
    In: PhD Thesis.
    RePEc:uts:finphd:9.

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  522. Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs. (2010). Shi, Lei.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2010.

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  523. CAPM in Up and Down Markets. (2010). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:9:y:2010:i:2:p:229-255.

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  524. How Much Does Household Collateral Constrain Regional Risk Sharing?. (2010). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: Review of Economic Dynamics.
    RePEc:red:issued:06-187.

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  525. Portfolio Risk Analysis. (2010). Korajczyk, Robert A ; Goldberg, Lisa R ; Connor, Gregory.
    In: Economics Books.
    RePEc:pup:pbooks:9224.

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  526. Testing CAPM using Markov switching model: the case of coal firms. (2010). Çevik, Emrah ; Korkmaz, Turhan ; Ozata, Nesrin ; Birkan, Elif.
    In: MPRA Paper.
    RePEc:pra:mprapa:71479.

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  527. Can statistics do without artefacts?. (2010). Chatelain, Jean-Bernard.
    In: MPRA Paper.
    RePEc:pra:mprapa:42867.

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  528. Pemilihan Model Asset Pricing. (2010). Pasaribu, Rowland Bismark Fernando, .
    In: MPRA Paper.
    RePEc:pra:mprapa:36978.

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  529. Asset Pricing - A Brief Review. (2010). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:22379.

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  530. Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns. (2010). Roussanov, Nikolai.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16073.

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  531. Value versus Growth: Time-Varying Expected Stock Returns. (2010). Zhang, Lu ; Xing, Yuhang ; Gulen, Huseyin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15993.

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  532. Limited Capital Market Participation and Human Capital Risk. (2010). Berk, Jonathan ; Walden, Johan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15709.

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  533. Size, Book-to-Market Ratio and Macroeconomic News. (2010). Cenesizoglu, Tolga.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1033.

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  534. Does the size of a fund family matter when choosing an investment strategy? Evidence from spain. (2010). VARGAS, MARIA ; Ferruz, Luis ; Muoz, Fernando.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:35:y:2010:i:3:p:315-334.

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  535. The cross-section of equity returns and assets’ fundamental cash-flow risk. (2010). Galsband, Victoria .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:24:y:2010:i:4:p:327-351.

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  536. Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns. (2010). Sherif, Mo ; Hyde, Stuart.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:2:p:198-211.

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  537. Human Capital as an Asset Class: Implications from a General Equilibrium Model. (2010). Palacios, Miguel.
    In: Working Papers.
    RePEc:hka:wpaper:2011-016.

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  538. Can Statistics Do without Artefacts?. (2010). Chatelain, Jean-Bernard.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00750495.

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  539. Can Statistics Do without Artefacts?. (2010). Chatelain, Jean-Bernard.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-00750495.

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  540. An Empirical Investigation of Consumption CAPMs in the Australian Market. (2010). Roca, Eduardo ; Li, Bin ; Liu, Benjamin.
    In: Discussion Papers in Finance.
    RePEc:gri:fpaper:finance:201011.

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  541. Funding liquidity risk and the cross-section of stock returns. (2010). Etula, Erkko ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:464.

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  542. Comment on Christian’s “Human Capital Accounting in the United States: 1994–2006”. (2010). McGrattan, Ellen.
    In: Staff Report.
    RePEc:fip:fedmsr:447.

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  543. On the Hansen-Jagannathan distance with a no-arbitrage constraint. (2010). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2010-04.

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  544. Conditional beta pricing models: A nonparametric approach. (2010). Orbe, Susan ; Gil-Bazo, Javier ; Mandaluniz, Susan Orbe ; Ferreira, Maria Eva ; Gilbazo, Javier.
    In: BILTOKI.
    RePEc:ehu:biltok:5563.

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  545. Conditional beta pricing models: A nonparametric approach. (2010). Orbe, Susan ; Gil-Bazo, Javier ; Ferreira, Eva.
    In: BILTOKI.
    RePEc:ehu:biltok:201010.

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  546. Asian sovereign debt and country risk. (2010). Johansson, Anders.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:4:p:335-350.

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  547. Financial market equilibria with cumulative prospect theory. (2010). De Giorgi, Enrico ; Hens, Thorsten ; Rieger, Marc Oliver.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:46:y:2010:i:5:p:633-651.

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  548. International stock return predictability under model uncertainty. (2010). Schrimpf, Andreas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:7:p:1256-1282.

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  549. Testing conditional asset pricing models: An emerging market perspective. (2010). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert ; Galagedera, Don U. A., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:897-918.

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  550. Evaluating asset pricing models using the second Hansen-Jagannathan distance. (2010). zhang, xiaoyan ; LI, HAITAO ; Xu, Yuewu.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:97:y:2010:i:2:p:279-301.

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  551. Average correlation and stock market returns. (2010). Wilson, Mungo ; Pollet, Joshua M..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:3:p:364-380.

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  552. The coskewness puzzle. (2010). Potì, Valerio ; Poti, Valerio ; Wang, Dengli.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:8:p:1827-1838.

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  553. Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. (2010). Guo, Hui ; Savickas, Robert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1637-1649.

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  554. Volatility risk and the value premium: Evidence from the French stock market. (2010). ARISOY, Yakup.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:975-983.

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  555. Using the credit spread as an option-risk factor: Size and value effects in CAPM. (2010). Min, Hong-Ghi ; Kim, Hwagyun ; Hwang, Young-Soon ; McDonald, Judith A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:2995-3009.

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  556. What drives the performance of convertible-bond funds?. (2010). Seiz, Ralf ; Ammann, Manuel ; Kind, Axel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:11:p:2600-2613.

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  557. A net beta test of asset pricing models. (2010). Freeman, Mark C. ; Guermat, Cherif.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:1:p:1-9.

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  558. GMM estimation of the number of latent factors: With application to international stock markets. (2010). Perez, M. Fabricio ; Ahn, Seung.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:783-802.

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  559. Asset pricing models and economic risk premia: A decomposition. (2010). Balduzzi, Pierluigi ; Robotti, Cesare.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:54-80.

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  560. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2010). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:116-133.

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  561. The labour theory of value, risk and the rate of profit. (2010). Toms, Steven.
    In: CRITICAL PERSPECTIVES ON ACCOUNTING.
    RePEc:eee:crpeac:v:21:y:2010:i:1:p:96-103.

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  562. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

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  563. The Best Asset Pricing Model for Estimating Industry Costs of Equity in Tunisia. (2010). Ben Naceur, Sami ; Chaibi, Hasna.
    In: Review of Middle East Economics and Finance.
    RePEc:bpj:rmeecf:v:5:y:2010:i:3:n:4.

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  564. Conditional Asset Pricing and Stock Market Anomalies in Europe. (2010). Bauer, Rob ; Schotman, Peter C ; Cosemans, Mathijs.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:2:p:165-190.

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  565. The Cross€ Section of Expected Stock Returns: What Have We Learnt from the Past Twenty€ Five Years of Research?. (2010). Subrahmanyam, Avanidhar.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:1:p:27-42.

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  566. Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model. (2010). Spyrou, Spyros ; Kassimatis, Konstantinos ; Karathanasis, George.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:50:y:2010:i:1:p:143-169.

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  567. INTEGRATION OF THE SELECTED SEE EQUITY MARKETS: COINTEGRATION APPROACH. (2010). Tevdovski, Dragan ; Prof. Slave Risteski Ph. D., ; Assist. Prof. Dragan Tevdovski Ph. D., .
    In: Revista Tinerilor Economisti (The Young Economists Journal).
    RePEc:aio:rteyej:v:1:y:2010:i:15s:p:137-146.

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  568. Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns. (2009). Schrimpf, Andreas ; Grammig, Joachim.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0705.

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  569. Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk. (2009). Goetzmann, William ; Watanabe, Masahiro.
    In: Yale School of Management Working Papers.
    RePEc:ysm:wpaper:amz2656.

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  570. Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk. (2009). Goetzmann, William ; Watanabe, Masahiro.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2656.

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  571. Does beta react to market conditions? Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter. (2009). Anderson, Heather ; Woodward, George.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:8:p:913-924.

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  572. An analysis of dynamic risk in the Greater China equity markets. (2009). Johansson, Anders.
    In: Journal of Chinese Economic and Business Studies.
    RePEc:taf:jocebs:v:7:y:2009:i:3:p:299-320.

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  573. Stochastic volatility and time-varying country risk in emerging markets. (2009). Johansson, Anders.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:15:y:2009:i:3:p:337-363.

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  574. Interest-rate risk factor and stock returns: a time-varying factor-loadings model. (2009). Hueng, C. ; Huang, Peng.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:22:p:1813-1824.

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  575. Idiosyncratic volatility and stock returns: a cross country analysis. (2009). Visaltanachoti, Nuttawat ; Pukthuanthong-Le, Kuntara.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:16:p:1269-1281.

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  576. Time Varying Volatility and the Cross-Section of Equity Returns Â. (2009). Brooks, Chris ; Li, Xiafei ; Miffre, Joelle.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2009-01.

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  577. Diversified returns, aggregate wealth and varying market risk premium: testing the CAPM with data for Mexico.. (2009). Trevino, Lourdes .
    In: EconoQuantum, Revista de Economia y Finanzas.
    RePEc:qua:journl:v:6:y:2009:i:1:p:127-136.

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  578. Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice. (2009). Frehen, Rik ; Schotman, P. C. ; Cosemans, M. ; Frehen, R. G. P., ; Bauer, R. M. M. J., .
    In: MPRA Paper.
    RePEc:pra:mprapa:23557.

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  579. Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique. (2009). Prono, Todd ; Todd, Prono.
    In: MPRA Paper.
    RePEc:pra:mprapa:20031.

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  580. US Industry-Level Returns and Oil Prices. (2009). Jahan-Parvar, Mohammad ; Fan, Qinbin .
    In: MPRA Paper.
    RePEc:pra:mprapa:15670.

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  581. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

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  582. Asset Return Dynamics under Bad Environment Good Environment Fundamentals. (2009). Engstrom, Eric ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15222.

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  583. Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology. (2009). Shanken, Jay ; Kan, Raymond ; Robotti, Cesare.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15047.

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  584. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence. (2009). Jagannathan, Ravi ; Da, Zhi ; Guo, Re-Jin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14889.

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  585. Are the Fama–French factors proxying news related to GDP growth? The Australian evidence. (2009). Gharghori, Philip ; faff, robert ; Nguyen, Annette.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:2:p:141-158.

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  586. AN ANALYSIS OF DYNAMIC RISK IN THE GREATER CHINA EQUITY MARKETS. (2009). Johansson, Anders.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-005.

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  587. Pricing model performance and the two-pass cross-sectional regression methodology. (2009). Shanken, Jay ; Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2009-11.

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  588. Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results. (2009). Klinkowska, Olga.
    In: Ekonomia journal.
    RePEc:eko:ekoeko:24_112.

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  589. Labor hiring, investment and stock return predictability in the cross section. (2009). Lin, Xiaoji ; Bazdrech, Santiago ; Belo, Frederico.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24418.

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  590. Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns. (2009). Schrimpf, Andreas ; Grammig, Joachim.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:3:p:113-123.

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  591. The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows. (2009). Cook, David.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:18:y:2009:i:3:p:449-456.

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  592. The non-relevance of the elusive holy grail of asset pricing tests: The true market portfolio does not alter CAPM validity conclusions. (2009). Nayak, Subhankar ; Low, Cheekiat .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:4:p:1460-1475.

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  593. High idiosyncratic volatility and low returns: International and further U.S. evidence. (2009). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:1-23.

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  594. Evaluation of linear asset pricing models by implied portfolio performance. (2009). Huang, Dayong ; Balvers, Ronald.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:9:p:1586-1596.

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  595. News and the cross-section of expected corporate bond returns. (2009). Gonzalez, Angelica ; Abhyankar, Abhay.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:6:p:996-1004.

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  596. Is PIN priced risk?. (2009). Rajgopal, Shiva ; Mohanram, Partha.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:47:y:2009:i:3:p:226-243.

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  597. European stock market integration: Fact or fiction?. (2009). Bley, Jorg.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:5:p:759-776.

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  598. The other January effect: International, style, and subperiod evidence. (2009). Sun, Yong ; Stivers, Chris.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:3:p:521-546.

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  599. Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland. (2009). Drobetz, Wolfgang ; Kugler, Peter ; Zimmermann, Heinz ; Wanzenried, Gabrielle.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:1-2:p:84-93.

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  600. Energy prices, volatility, and the stock market: Evidence from the Eurozone. (2009). Oberndorfer, Ulrich .
    In: Energy Policy.
    RePEc:eee:enepol:v:37:y:2009:i:12:p:5787-5795.

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  601. Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries. (2009). Sarkar, Asani ; Zhang, Lingjia .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:613-631.

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  602. Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM. (2009). Adrian, Tobias ; Franzoni, Francesco.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:537-556.

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  603. Improvement in finite sample properties of the Hansen-Jagannathan distance test. (2009). Shimotsu, Katsumi ; Ren, Yu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:483-506.

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  604. Time-varying Integration and International diversification strategies. (2009). Inghelbrecht, Koen ; Baele, Lieven.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:368-387.

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  605. Correlation risk. (2009). Petkova, Ralitsa ; Ritchken, Peter ; Krishnan, C. N. V., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:353-367.

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  606. Tests of risk premia in linear factor models. (2009). Kleibergen, Frank.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:149:y:2009:i:2:p:149-173.

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  607. Option-Implied Measures of Equity Risk. (2009). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris ; Vainberg, Gregory .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-33.

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  608. The Value Premium and Time-Varying Volatility. (2009). Li, Xiafei ; Joëlle Miffre, ; Brooks, Chris.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009-11:i:9-10:p:1252-1272.

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  609. Can An Estimation Factor Help Explain Cross-Sectional Returns?. (2009). Lundtofte, Frederik.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009-06:i:5-6:p:705-724.

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  610. Common Risk Factors Versus a Mispricing Factor of Tokyo Stock Exchange Firms: Inquiries into the Fundamental Value Derived from Analyst Earnings Forecasts*. (2009). Kubota, Keiichi ; Suda, Kazuyuki ; Takehara, Hitoshi.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:9:y:2009:i:3:p:269-294.

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  611. The Conditional Beta and the Cross‐Section of Expected Returns. (2009). Tang, YI ; Bali, Turan G. ; Cakici, Nusret.
    In: Financial Management.
    RePEc:bla:finmgt:v:38:y:2009:i:1:p:103-137.

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  612. Global Asset Pricing: Is There a Role for Long-run Consumption Risk?. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Rangvid, Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-57.

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  613. Fundamentals and the origin of Fama-French factors. (2008). López-Espinosa, Germán ; De Pea, Javier F. ; Lopez-Espinosa, German ; Forner-Rodriguez, Carlos.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0408.

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  614. The retention of CEOs that make poor acquisitions. (2008). Griffith, John ; Carroll, Carolyn .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:32:y:2008:i:3:p:226-242.

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  615. Time-Varying Incentives in the Mutual Fund Industry. (2008). Tay, Anthony S ; Olivier, Jacques.
    In: Working Papers.
    RePEc:siu:wpaper:10-2008.

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  616. The stock market and the Fed. (2008). Mattesini, Fabrizio ; Becchetti, Leonardo.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:113.

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  617. The Return to Wealth, Asset Pricing, and the Intertemporal Elasticity of Substitution. (2008). Tallarini, Thomas ; Bansal, Ravi ; Yaron, Amir.
    In: 2008 Meeting Papers.
    RePEc:red:sed008:918.

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  618. Measuring the Dynamic Cost of Living Index from Consumption Data. (2008). Kitahara, Minoru ; Aoki, Shuhei.
    In: MPRA Paper.
    RePEc:pra:mprapa:9802.

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  619. Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms. (2008). Javid, Attiya.
    In: MPRA Paper.
    RePEc:pra:mprapa:37561.

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  620. Testing multifactor capital asset pricing model in case of Pakistani market. (2008). Javid, Attiya ; Ahmad, Eatzaz.
    In: MPRA Paper.
    RePEc:pra:mprapa:37341.

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  621. Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM. (2008). Puah, Chin-Hong ; Yong, Ying-Kiu ; Md Isa, Abu Hassan, .
    In: MPRA Paper.
    RePEc:pra:mprapa:12355.

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  622. The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange. (2008). Javid, Attiya ; Ahmad, Eatzaz.
    In: PIDE-Working Papers.
    RePEc:pid:wpaper:2008:48.

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  623. Do the common risk factors always capture strong variation in stock returns?. (2008). Simlai, Pradosh.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:9:y:2008:i:4:d:10.1057_jam.2008.22.

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  624. Asset Pricing Tests with Long Run Risks in Consumption Growth. (2008). Constantinides, George ; Ghosh, Anisha.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14543.

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  625. The Wealth-Consumption Ratio. (2008). Verdelhan, Adrien ; Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13896.

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  626. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. (2008). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13739.

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  627. Testing Conditional Asset Pricing Models: An Emerging Market Perspective. (2008). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-3.

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  628. ¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?. (2008). LPEZ, NIEVAS J. ; MAGALLN, MARA VARGAS ; Agudo, Luis Ferruz.
    In: Estudios de Economia Aplicada.
    RePEc:lrk:eeaart:26_3_5.

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  629. Momentum Profitability and Market Trend: Evidence from REITs. (2008). Glascock, John ; Hung, Szu-Yin.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:37:y:2008:i:1:p:51-69.

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  630. Realized Betas and the Cross-Section of Expected Returns. (2008). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:15-2008.

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  631. The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market. (2008). Iwaisako, Tokuo ; Aono, Kohei.
    In: Discussion Paper Series.
    RePEc:hit:hituec:a504.

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  632. Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM. (2008). Adrian, Tobias ; Franzoni, Francesco.
    In: Staff Reports.
    RePEc:fip:fednsr:193.

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  633. Do behavioral biases adversely affect the macro-economy?. (2008). Korniotis, George M. ; Kumar, Alok.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-49.

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  634. The human capital that matters: expected returns and the income of affluent households. (2008). Campbell, Sean D. ; Korniotis, George M..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-09.

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  635. The impact of revenue diversity on banking system stability. (2008). De Jonghe, Olivier.
    In: EIEF Working Papers Series.
    RePEc:eie:wpaper:0815.

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  636. Asset pricing tests with long run risks in consumption growth. (2008). Constantinides, George ; Ghosh, Anisha.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24428.

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  637. Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble. (2008). Leone, Vitor ; Leger, Lawrence.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:3:p:228-244.

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  638. The timing of financing decisions: An examination of the correlation in financing waves. (2008). Dittmar, Robert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:1:p:59-83.

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  639. The expected value premium. (2008). Zhang, Lu ; Chen, Long ; Petkova, Ralitsa.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:2:p:269-280.

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  640. The intertemporal relation between expected returns and risk. (2008). Bali, Turan G..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:101-131.

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  641. Is accruals quality a priced risk factor?. (2008). Guay, Wayne R. ; Verdi, Rodrigo ; Core, John E..
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:46:y:2008:i:1:p:2-22.

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  642. Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model. (2008). Khan, Mozaffar.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:45:y:2008:i:1:p:55-77.

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  643. On the predictive power of the surplus consumption ratio. (2008). Ghattassi, Imen.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:1:p:21-31.

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  644. Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework. (2008). faff, robert ; Holmes, Kathryn A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:5:p:998-1011.

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  645. Evaluating a non-linear asset pricing model on international data. (2008). Asgharian, Hossein ; Karlsson, Sonnie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:3:p:604-621.

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  646. Specification tests of asset pricing models using excess returns. (2008). Robotti, Cesare ; Kan, Raymond.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:5:p:816-838.

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  647. It takes a model to beat a model: Volatility bounds. (2008). Liu, Ludan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:80-110.

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  648. Maximizing equity market sector predictability in a Bayesian time-varying parameter model. (2008). Johnson, Lorne D. ; Sakoulis, Georgios.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:3083-3106.

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  649. Time-Varying Incentives in the Mutual Fund Industry. (2008). Tay, Anthony.
    In: Finance Working Papers.
    RePEc:eab:financ:22484.

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  650. The Poor Predictive Performance of Asset Pricing Models. (2008). Simin, Timothy.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:43:y:2008:i:02:p:355-380_00.

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  651. Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression. (2008). Simin, Timothy ; Sarkissian, Sergei ; Ferson, Wayne E..
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:43:y:2008:i:02:p:331-353_00.

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  652. Nonparametric estimation of conditional beta pricing models. (2008). Orbe, Susan ; Gil-Bazo, Javier ; Ferreira, Eva.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb082403.

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  653. Time-Varying Incentives in the Mutual Fund Industry. (2008). Tay, Anthony S ; Olivier, Jacques.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6893.

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  654. Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach. (2008). Ammann, Manuel ; Verhofen, Michael.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:3:p:391-418.

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  655. Behavioural Finance: A Review and Synthesis. (2008). Subrahmanyam, Avanidhar.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:1:p:12-29.

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  656. Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns. (2007). Schrimpf, Andreas ; Grammig, Joachim.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7189.

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  657. Takeovers and the Cross-Section of Returns. (2007). Nair, Vinay ; Cremers, Martijn ; John, Kose.
    In: Yale School of Management Working Papers.
    RePEc:ysm:wpaper:amz2393.

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  658. Asset pricing models: a comparison. (2007). Prakash, Arun ; Geppert, John ; Lawrence, Edward R..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:11:p:933-940.

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  659. Consumption Volatility and the Cross-Section of Stock Returns. (2007). Tedongap, Romeo.
    In: 2007 Meeting Papers.
    RePEc:red:sed007:662.

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  660. Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test. (2007). Shimotsu, Katsumi ; Ren, Yu.
    In: Working Paper.
    RePEc:qed:wpaper:1126.

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  661. Asset pricing and predictability of stock returns in the french market. (2007). Ellouz, Siwar ; Bellalah, Mondher.
    In: MPRA Paper.
    RePEc:pra:mprapa:4961.

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  662. Olive: a simple method for estimating betas when factors are measured with error.. (2007). Bai, Jushan ; Meng, Ginger ; Hu, Gang.
    In: MPRA Paper.
    RePEc:pra:mprapa:33183.

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  663. Do life insurance stocks provide superior returns?. (2007). Najand, Mohammad ; Griffith, John ; Marlett, David C.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:8:y:2007:i:1:d:10.1057_palgrave.jam.2250058.

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  664. Expectations, Shocks, and Asset Returns. (2007). Sousa, Ricardo.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:29/2007.

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  665. Wealth Shocks and Risk Aversion. (2007). Sousa, Ricardo.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:28/2007.

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  666. Cointegration and Consumption Risks in Asset Returns. (2007). Dittmar, Robert ; Bansal, Ravi ; Kiku, Dana.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13108.

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  667. ICAPM with time-varying risk aversion. (2007). Maio, Paulo.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:111.

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  668. The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market. (2007). Wang, Yuenan ; di Iorio, Amalia.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:29:y:2007:i:2:p:181-203.

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  669. Financial Market Risk and U.S. Money Demand. (2007). Choi, Woon Gyu ; Cook, David.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2007/089.

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  670. Portfolio choice over the life-cycle when the stock and labor markets are cointegrated. (2007). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-07-11.

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  671. Model comparison using the Hansen-Jagannathan distance. (2007). Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2007-04.

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  672. A generalized volatility bound for dynamic economies. (2007). Whiteman, Charles ; Ravikumar, B ; Otrok, Christopher.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:8:p:2269-2290.

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  673. Housing, consumption and asset pricing. (2007). Schneider, Martin ; Piazzesi, Monika ; Tuzel, Selale.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:83:y:2007:i:3:p:531-569.

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  674. Momentum, reversal, and the trading behaviors of institutions. (2007). Gutierrez, Roberto Jr., ; Prinsky, Christo A..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:1:p:48-75.

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  675. Conditional coskewness and asset pricing. (2007). Smith, Daniel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:1:p:91-119.

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  676. CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40.

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  677. Trending time-varying coefficient time series models with serially correlated errors. (2007). CAI, ZONGWU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:136:y:2007:i:1:p:163-188.

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  678. What Drives Corporate Bond Market Betas?. (2007). Gonzalez, Angelica ; Abhyankar, Abhay.
    In: Edinburgh School of Economics Discussion Paper Series.
    RePEc:edn:esedps:157.

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  679. Panel Data Models with Multiple Time-Varying Individual Effects. (2007). Schmidt, Peter ; Lee, Young Hoon ; Ahn, Seung.
    In: Working Papers.
    RePEc:crt:wpaper:0702.

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  680. Asset Pricing Implications of Pareto Optimality with Private Information. (2007). Kocherlakota, Narayana.
    In: Levine's Bibliography.
    RePEc:cla:levrem:321307000000000701.

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  681. Conditional Performance Evaluation for German Mutual Equity Funds. (2007). Drobetz, Wolfgang ; Bessler, Wolfgang ; Zimmermann, Heinz.
    In: Working papers.
    RePEc:bsl:wpaper:2007/22.

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  682. A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes. (2007). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:physics/0702027.

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  683. Forward-Looking Betas. (2007). Jacobs, Kris ; Vainberg, Gregory .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-39.

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  684. Evaluating conditional asset pricing models for the German stock market. (2006). Schröder, Michael ; Schrimpf, Andreas ; Schroder, Michael ; Stehle, Richard.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5433.

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  685. Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns. (2006). Schrimpf, Andreas ; Grammig, Joachim.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:4616.

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  686. The Spirit of Capitalism and Asset Pricing: an Empirical Investigation. (2006). Zhang, Qiang.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2006cf428.

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  687. Evaluation of performance and conditional information: the case of Spanish mutual funds. (2006). Magallon, Maria Vargas ; Agudo, Luis Ferruz ; Sarto, Jose L..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:11:p:803-817.

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  688. The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex. (2006). Rodriguez, Rosa ; Nieto, Belen.
    In: Spanish Economic Review.
    RePEc:spr:specre:v:8:y:2006:i:3:p:199-226.

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  689. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

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  690. OPTIMAL PORTFOLIOS IN DEFINED CONTRIBUTION PENSION SYSTEMS. (2006). Walker, Eduardo.
    In: Abante.
    RePEc:pch:abante:v:9:y:2006:i:2:p:99-129.

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  691. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12360.

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  692. The Expected Value Premium. (2006). Zhang, Lu ; Chen, Long ; Petkova, Ralitsa.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12183.

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  693. Testing Portfolio Efficiency with Conditioning Information. (2006). Ferson, Wayne ; Siegel, Andrew F..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12098.

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  694. Housing, Consumption, and Asset Pricing. (2006). Schneider, Martin ; Piazzesi, Monika ; Tuzel, Selale.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12036.

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  695. Does Total Risk Matter? The Case of Emerging Markets. (2006). Girard, Eric ; Sinha, Amit.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:10:y:2006:i:1-2:p:117-151.

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  696. Evaluating a nonlinear asset pricing model on international data. (2006). Asgharian, Hossein ; Karlsson, Sonnie.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_005.

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  697. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims. (2006). zhang, xiaoyan ; Wang, Zhenyu.
    In: Staff Reports.
    RePEc:fip:fednsr:265.

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  698. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

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  699. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

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  700. Specification tests of asset pricing models using excess returns. (2006). Robotti, Cesare ; Kan, Raymond.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2006-10.

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  701. A Non-Parametric Test of the Conditional CAPM for the Mexican Economy. (2006). del Castillo-Spindola, Jorge H..
    In: Estudios Económicos.
    RePEc:emx:esteco:v:21:y:2006:i:2:p:275-297.

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  702. Specification tests of international asset pricing models. (2006). zhang, xiaoyan.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:2:p:275-307.

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  703. Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. (2006). Sadka, Ronnie.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:80:y:2006:i:2:p:309-349.

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  704. Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:1:p:97-126.

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  705. Where is beta going ? the riskiness of value and small stocks. (2006). Franzoni, Francesco.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0829.

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  706. Les modèles dévaluation des actifs financiers et les co-moments dordre trois et quatre. (2006). Lajili, Souad .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/2256.

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  707. The Spirit of Capitalism and Asset Pricing: an Empirical Investigation (Subsequently published in The B.E. Journal of Macroeconomics (Topics in Macroeconomics), 2006, Vol. 6, Issue 3, Article 1, 1-23. ). (2006). Zhang, Qiang.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf069.

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  708. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk. (2006). Verdelhan, Adrien ; Lustig, Hanno.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-045.

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  709. Structural Changes in Expected Stock Returns Relationships: Evidence from ASE. (2006). Karanikas, Evangelos ; Tzavalis, Elias.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:33:y:2006-11:i:9-10:p:1610-1628.

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  710. In Americas thrall: the effects of the US market and US security characteristics on Australian stock returns. (2006). Durand, Robert B. ; Limkriangkrai, Manapon ; Smith, Gary.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:46:y:2006:i:4:p:577-604.

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  711. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.. (2006). Verdelhan, Adrien ; Lustig, Hanno.
    In: Working papers.
    RePEc:bfr:banfra:155.

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  712. Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence. (2006). Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-38.

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  713. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

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  714. Time Varying Sensitivities on a GRID architecture. (2005). d'Addona, Stefano ; Ciprian, Mattia.
    In: Finance.
    RePEc:wpa:wuwpfi:0511007.

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  715. Economic Impact of Regulation on Corporate Governance: Evidence from India. (2005). Bhattacharyya, Asish ; Rao, Sadhalaxmi Vivek.
    In: Finance.
    RePEc:wpa:wuwpfi:0504002.

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  716. Tests of the CAPM under structural changes. (2005). Huang, Ho-Chuan ; Cheng, Wan-Hsiu.
    In: International Economic Journal.
    RePEc:taf:intecj:v:19:y:2005:i:4:p:523-541.

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  717. European public real estate market integration. (2005). Zhu, Guozhong ; Yang, Jian ; Kolari, James W..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:13:p:895-905.

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  718. The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street. (2005). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: 2005 Meeting Papers.
    RePEc:red:sed005:105.

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  719. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Wu, Jin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-009.

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  720. CAPM Over the Long Run: 1926-2001. (2005). Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11903.

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  721. Downside Risk. (2005). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11824.

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  722. Cash-Flow Risk, Discount Risk, and the Value Premium. (2005). Santos, Tano ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11816.

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  723. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street. (2005). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11564.

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  724. Expected Returns, Yield Spreads, and Asset Pricing Tests. (2005). Zhang, Lu ; Chen, Long ; Campello, Murillo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11323.

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  725. Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income. (2005). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11247.

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  726. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium. (2005). Wachter, Jessica ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11144.

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  727. Consumption Risk and the Cost of Equity Capital. (2005). Jagannathan, Ravi ; Wang, Yong.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11026.

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  728. Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?. (2005). Lundtofte, Frederik.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_018.

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  729. Asset-pricing models and economic risk premia: a decomposition. (2005). Robotti, Cesare ; Balduzzi, Pierluigi.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2005-13.

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  730. Testing for Stochastic Dominance Efficiency. (2005). Whang, Yoon-Jae ; LINTON, OLIVER ; Whang, Y-J., ; Post, G. T..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:6726.

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  731. Does conditional market skewness resolve the puzzling market risk-return relationship?. (2005). Sy, Oumar ; Guedhami, Omrane.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:45:y:2005:i:4-5:p:582-598.

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  732. Is value riskier than growth?. (2005). Zhang, Lu ; Petkova, Ralitsa.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:78:y:2005:i:1:p:187-202.

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  733. Portfolio performance measurement using APM-free kernel models. (2005). Ayadi, Mohamed A. ; Kryzanowski, Lawrence.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:3:p:623-659.

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  734. Consumption habit and international stock returns. (2005). Li, Yuming ; Zhong, Maosen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:3:p:579-601.

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  735. An examination of alternative CAPM-based models in UK stock returns. (2005). Kihanda, Joseph ; Fletcher, Jonathan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2995-3014.

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  736. Currency risk in excess equity returns: a multi time-varying beta approach. (2005). Lim, Guay.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:15:y:2005:i:3:p:189-207.

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  737. Measures of risk. (2005). Szego, Giorgio.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:163:y:2005:i:1:p:5-19.

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  738. Compensation for managers with career concerns: the role of stock options in optimal contracts. (2005). Nohel, Tom ; Todd, Steven .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:11:y:2005:i:1-2:p:229-251.

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  739. Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM. (2005). Adrian, Tobias ; Franzoni, Francesco.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0828.

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  740. Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium. (2005). Wachter, Jessica ; Lettau, Martin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4921.

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  741. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh). (2005). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:352.

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  742. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt4ft420b6.

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  743. A survey on risk-return analysis. (2004). Galagedera, Don.
    In: Finance.
    RePEc:wpa:wuwpfi:0406010.

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  744. Are the new and old EU countries financially integrated?. (2004). Dvorak, Tomas.
    In: Department of Economics Working Papers.
    RePEc:wil:wileco:2004-09.

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  745. Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing. (2004). Zhang, Qiang.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2004cf289.

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  746. A simple test of the Fama and French model using daily data: Australian evidence. (2004). faff, robert.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:2:p:83-92.

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  747. CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria. (2004). Mateev, Miroslav ; Matteev, Miroslav .
    In: South-Eastern Europe Journal of Economics.
    RePEc:seb:journl:v:2:y:2004:i:1:p:35-58.

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  748. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10996.

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  749. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10852.

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  750. How Much Does Household Collateral Constrain Regional Risk Sharing?. (2004). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10505.

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  751. Conditional Betas. (2004). Santos, Tano ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10413.

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  752. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

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  753. Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions. (2004). Galagedera, Don ; faff, robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-8.

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  754. Bad Beta, Good Beta. (2004). Campbell, John ; Vuolteenaho, Tuomo.
    In: Scholarly Articles.
    RePEc:hrv:faseco:3122489.

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  755. Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach. (2004). Karlsson, Sune ; Parmler, Johan.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0524.

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  756. Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence. (2004). Huang, Kevin ; GAO, Paul ; Kevin x. d. Huang, .
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp04-07.

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  757. Conditional Downside Risk and the CAPM. (2004). Vliet, Pim ; van Vliet, P. ; Post, G. T..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:1425.

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  758. Flight to quality, flight to liquidity, and the pricing of risk. (2004). Vayanos, Dimitri.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:456.

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  759. Traditional beta, downside risk beta and market risk premiums. (2004). Kaplanski, Guy.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:5:p:636-653.

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  760. Futures trading activity and predictable foreign exchange market movements. (2004). Wang, Changyun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:5:p:1023-1041.

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  761. Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds. (2004). Deaves, Richard.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:3:p:673-694.

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  762. Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance. (2004). Ahn, Seung ; Gadarowski, Christopher .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:1:p:109-132.

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  763. Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk. (2004). Lee, Tae Hwy ; Gonzalez-Rivera, Gloria ; Mishra, Santosh.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:356.

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  764. Generalized Reduced Rank Tests using the Singular Value Decomposition. (2004). Paap, Richard ; Kleibergen, Frank.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:195.

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  765. Les modèles dévaluation des actifs financiers et les co-moments dordre trois et quatre. (2004). Lajili, Souad .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/3013.

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  766. Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles. (2004). Rodriguez, Rosa ; Nieto, Belen.
    In: DEE - Documentos de Trabajo. Economía de la Empresa. DB.
    RePEc:cte:dbrepe:db040202.

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  767. How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006). (2004). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:302.

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  768. Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance. (2004). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:300.

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  769. Ratchet vs Blasé Investors and Asset Markets. (2004). St-Amour, Pascal.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-11.

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  770. Determinants of Country Beta Risk in Poland. (2004). Wdowiński, Piotr ; Wdowinski, Piotr .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1120.

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  771. Intertemporal production and asset pricing: a duality approach. (2003). Kim, Youn H..
    In: Oxford Economic Papers.
    RePEc:oup:oxecpp:v:55:y:2003:i:2:p:344-379.

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  772. The Conditional CAPM does not Explain Asset-Pricing Anamolies. (2003). Nagel, Stefan ; Lewellen, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9974.

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  773. Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective. (2003). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9959.

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  774. Bad Beta, Good Beta. (2003). Campbell, John ; Vuolteenaho, Tuomo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9509.

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  775. The Price is (Almost) Right. (2003). Polk, Christopher ; Vuolteenaho, Tuomo ; COHEN, RANDOLPH B..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10131.

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  776. The Conditional CAPM Does Not Explain Asset-pricing Anomalies. (2003). Nagel, Stefan ; Lewellen, Jonathan.
    In: Working papers.
    RePEc:mit:sloanp:3544.

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  777. Equilibrium Asset Pricing Under Heterogenous Information. (2003). Bossaerts, Peter ; Biais, Bruno ; Spatt, Chester.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:635.

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  778. On the cross section of conditionally expected stock returns. (2003). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-043.

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  779. Contagion: an empirical test. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:775.

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  780. Asset prices and omitted moments; A stochastic dominance analysis of market efficiency. (2003). Post, G. T..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:430.

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  781. Tests of regime-switching CAPM under price limits. (2003). Huang, Ho-Chuan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:12:y:2003:i:3:p:305-326.

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  782. An investigation into the role of liquidity in asset pricing: Australian evidence. (2003). faff, robert ; Chan, Howard W..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:11:y:2003:i:5:p:555-572.

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  783. Authors response. (2003). Cooper, William W. ; Ruefli, T. W. ; Brockett, Patrick L. ; Kwon, K. H..
    In: Omega.
    RePEc:eee:jomega:v:31:y:2003:i:5:p:417-421.

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  784. The calendar structure of risk and expected returns on stocks and bonds. (2003). Ogden Joseph P., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:70:y:2003:i:1:p:29-67.

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  785. News related to future GDP growth as a risk factor in equity returns. (2003). Maria, Vassalou.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:68:y:2003:i:1:p:47-73.

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  786. Empirical reverse engineering of the pricing kernel. (2003). Chernov, Mikhail.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:329-364.

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  787. Equilibrium Asset Pricing Under Heterogeneous Information. (2003). Biais, Bruno ; Spatt, Chester.
    In: Levine's Bibliography.
    RePEc:cla:levrem:666156000000000086.

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  788. Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Xia, Yihong ; Wang, Ashley W.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt20r0j5t8.

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  789. Time-Varying Betas Help in Asset Pricing: The Threshold CAPM. (2003). Salih, Aslihan ; Caner, Mehmet ; Akdeniz, Levent ; Altay-Salih, Aslihan.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:6:y:2003:i:4:n:1.

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  790. Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion. (2003). Vissing-Jorgensen, Annette ; Attanasio, Orazio.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:2:p:383-391.

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  791. Housing Collateral, Consumption Insurance and Risk Premia. (2002). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0211008.

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  792. Testing the univariate conditional CAPM in thinly traded markets. (2002). Solibakke, Per Bjarte.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:12:y:2002:i:10:p:751-763.

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  793. Conditional Asset Pricing in Emerging Stock Markets. (2002). Drobetz, Wolfgang ; Sturmer, Susanne ; Zimmermann, Heinz.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2002-iv-11.

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  794. Macroeconomic Factors Do Influence Aggregate Stock Returns. (2002). Flannery, Mark ; Protopapadakis, Aris A..
    In: The Review of Financial Studies.
    RePEc:oup:rfinst:v:15:y:2002:i:3:p:751-782.

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  795. THE CONSUMPTION-WEALTH AND BOOK-TO-MARKET RATIOS IN A DYNAMIC ASSET PRICING CONTEXT. (2002). Rodriguez-Barrera, Rosa ; Nieto, Belen.
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2002-24.

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  796. Expropriation Risk and Return in Global Equity Markets. (2002). Bansal, Ravi ; Dahlquist, Magnus.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0008.

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  797. Cross Sectional Analysis of the Swedish Stock Market. (2002). Hansson, Björn ; Asgharian, Hossein.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_019.

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  798. Household Risk Management and Optimal Mortgage Choice. (2002). Campbell, John ; Cocco, Joao F..
    In: Harvard Institute of Economic Research Working Papers.
    RePEc:fth:harver:1946.

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  799. A quantile regression analysis of the cross section of stock market returns. (2002). Barnes, Michelle ; Hughes, Anthony W..
    In: Working Papers.
    RePEc:fip:fedbwp:02-2.

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  800. Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds. (2002). FEARNLEY, Tom A..
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp95.

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  801. A new paradigm: the wealth effect of the stock market on consumption, in a context of interacting bio-systems. (2002). Bulmash, Samuel B..
    In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics).
    RePEc:eee:soceco:v:31:y:2002:i:1:p:75-100.

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  802. A conditional multifactor analysis of return momentum. (2002). Wu, Xueping.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:8:p:1675-1696.

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  803. On the usefulness of linear factor models in predicting expected returns in mean-variance analysis. (2002). Fletcher, Jonathan ; Hillier, Joe.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:4:p:449-466.

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  804. Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio. (2002). Wang, Kevin Q..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:2:p:133-169.

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  805. Prices as factors: Approximate aggregation with incomplete markets. (2002). Zin, Stanley ; Telmer, Chris.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1127-1157.

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  806. Equilibrium Cross-Section of Returns. (2002). Zhang, Lu ; Kogan, Leonid ; Gomes, João.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3482.

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  807. Entrepreneurial Incentives in Stock Market Economies. (2002). Bisin, Alberto ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3474.

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  808. An Evaluation of International Asset Pricing Models. (2002). Sallstrom, Torbjorn ; Dahlquist, Magnus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3145.

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  809. Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns. (2002). Jacobs, Kris ; Wang, Kevin Q..
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-11.

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  810. Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns. (2002). .
    In: Journal of Finance.
    RePEc:bla:jfinan:v:57:y:2002:i:1:p:369-403.

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  811. The stability of risk factors in the UK stock market. (2001). Leger, Lawrence ; Bahri, Saiful S..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:11:y:2001:i:4:p:411-422.

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  812. Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective. (2001). Harvey, Campbell ; Graham, John R..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8678.

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  813. Downside Risk and the Momentum Effect. (2001). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8643.

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  814. Labor Income and Predictable Stock Returns. (2001). Santos, Tano ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8309.

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  815. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods. (2001). Wang, Zhenyu ; Jagannathan, Ravi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8098.

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  816. The Federal Reserve banks imputed cost of equity capital. (2001). Wang, Zhenyu ; Lopez, Jose ; Green, Edward J..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2001-01.

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  817. Home bias and international capital asset pricing model with human capital. (2001). Coen, Alain.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:4-5:p:497-513.

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  818. Evaluating the specification errors of asset pricing models. (2001). zhang, xiaoyan ; Hodrick, Robert ; Xiaoyan, Zhang.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:62:y:2001:i:2:p:327-376.

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  819. Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability. (2001). Lynch Anthony W., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:62:y:2001:i:1:p:67-130.

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  820. The theory and practice of corporate finance: evidence from the field. (2001). Harvey, Campbell ; Graham John R., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:60:y:2001:i:2-3:p:187-243.

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  821. The human capital of stockholders and the international diversification puzzle. (2001). Palacios-Huerta, Ignacio.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:54:y:2001:i:2:p:309-331.

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  822. Economic tracking portfolios. (2001). Lamont, Owen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:105:y:2001:i:1:p:161-184.

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  823. Financial market integration in Europe: on the effects of EMU on stock markets. (2001). Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:200148.

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  824. Efficient Estimation of Conditional Asset Pricing Models. (2001). Hodgson, Douglas ; Vorkink, Keith.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:144.

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  825. Tax Smoothing with Stochastic Interest Rates: A Re-assessment of Clintons Fiscal Legacy. (2001). Zhu, Xiaodong ; Lloyd-Ellis, Huw.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:125.

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  826. An Investment-Growth Asset Pricing Model. (2001). Xing, Yuhang ; Li, Qing ; Vassalou, Maria .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3058.

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  827. News Related to Future GDP Growth as a Risk Factor in Equity Returns. (2001). Vassalou, Maria .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3057.

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  828. Sovereign Risk and Return in Global Equity Markets. (2001). Bansal, Ravi ; Dahlquist, Magnus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3034.

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  829. Estimating Nonseparable Preference Specifications for Asset Market Participants. (2001). Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-12.

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  830. THRESHOLD EFFECTS IN FOOD AND AGRIBUSINESS STOCK PRICE MARKETS. (2001). Wilson, Christine ; Featherstone, Allen ; Kastens, Terry.
    In: 2001 Annual meeting, August 5-8, Chicago, IL.
    RePEc:ags:aaea01:20591.

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  831. Labor Income and Predictable Stock Returns. (2000). Santos, Tano ; Veronesi, Pietro.
    In: CRSP working papers.
    RePEc:wop:chispw:520.

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  832. A NUMERICAL STUDY ON THE EVOLUTION OF PORTFOLIO RULES. (2000). Sciubba, Emanuela ; Piccioni, M. ; Caldarelli, Guido.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:334.

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  833. Entrepreneurship and Household Saving. (2000). Hubbard, Robert ; Gentry, William.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7894.

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  834. Evaluating the Specification Errors of Asset Pricing Models. (2000). zhang, xiaoyan ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7661.

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  835. Asset Pricing at the Millennium. (2000). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7589.

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  836. Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability. (2000). Lynch, Anthony W..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-073.

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  837. Investing Retirement Wealth: a Life-Cycle Model.. (2000). Gomes, Francisco ; Campbell, John ; Maenhout, Pascala J. ; Cocco, Joao F..
    In: Harvard Institute of Economic Research Working Papers.
    RePEc:fth:harver:1896.

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  838. The Asian crisis and the exposure of large U.S. firms. (2000). Emmons, William ; Schmid, Frank.
    In: Review.
    RePEc:fip:fedlrv:y:2000:i:jan:p:15-34:n:v.82no.1.

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  839. The disappearing size effect. (2000). Loughran, Tim ; Savin, N. E. ; Horowitz, Joel L..
    In: Research in Economics.
    RePEc:eee:reecon:v:54:y:2000:i:1:p:83-100.

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  840. Modeling Australias country risk: a country beta approach. (2000). faff, robert ; Brooks, Robert ; Gangemi, Michael A. M., .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:52:y:2000:i:3:p:259-276.

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  841. The forward premium puzzle: different tales from developed and emerging economies. (2000). Bansal, Ravi ; Dahlquist, Magnus.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:51:y:2000:i:1:p:115-144.

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  842. Risk and return in a dynamic general equilibrium model. (2000). Akdeniz, Levent.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:5-7:p:1079-1096.

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  843. Estimating Nonseparable Preference Specifications for Asset Market Participants. (2000). Jacobs, Kris.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1472.

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  844. A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?. (2000). Sciubba, Emanuela ; Piccioni, M. ; Caldarelli, G..
    In: Papers.
    RePEc:arx:papers:cond-mat/0009437.

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  845. CAPM Reconsidered: A Robust Finite Sample Evaluation. (1999). Ravikumar, B ; Ray, Surajit ; Savin, N. E..
    In: Working Papers.
    RePEc:uia:iowaec:99-04.

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  846. Modelling normal returns in event studies: a model-selection approach and pilot study. (1999). J. Cable, K. Holland, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:4:p:331-341.

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  847. Nonsimultaneous prices and the evaluation of managed portfolios in Spain. (1999). Rubio, Gonzalo ; BASARRATE, BEGONA .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:9:y:1999:i:3:p:273-281.

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