Testing the CAPM with Time‐Varying risks and returns
JN Bodurtha Jr, NC Mark - The Journal of Finance, 1991 - Wiley Online Library
This paper draws on Engle's autoregressive conditionally heteroskedastic modeling strategy
to formulate a conditional CAPM with time‐varying risk and expected returns. The model is …
to formulate a conditional CAPM with time‐varying risk and expected returns. The model is …
Quantitative monetary easing and risk in financial asset markets
DH Small, T Kimura - Available at SSRN 633201, 2004 - papers.ssrn.com
In this paper, we empirically examine the portfolio-rebalancing effects stemming from the
policy of quantitative monetary easing recently undertaken by the Bank of Japan when the …
policy of quantitative monetary easing recently undertaken by the Bank of Japan when the …
Portfolio crowding-out, empirically estimated
JA Frankel - The Quarterly Journal of Economics, 1985 - academic.oup.com
This paper tests hypotheses regarding the parameters in investors' asset-demand functions.
The hypothesis that federal bonds are closer substitutes for equity than for money implies …
The hypothesis that federal bonds are closer substitutes for equity than for money implies …
[BOOK][B] Financial markets and monetary policy
JA Frankel - 1995 - books.google.com
In this second collection of his writings on financial markets (the first, On Exchange Rates,
covered international finance), Jeffrey Frankel turns his attention to domestic markets, with …
covered international finance), Jeffrey Frankel turns his attention to domestic markets, with …
Tests of conditional mean-variance efficiency of the US stock market
We test the mean-variance efficiency (MVE) hypothesis using a method that allows
conditional expected returns to vary in relatively unrestricted ways. The method takes …
conditional expected returns to vary in relatively unrestricted ways. The method takes …
[BOOK][B] Theory and reality în financial economics: essays toward a new political finance
GM Frankfurter - 2007 - books.google.com
The current literature on financial economics is dominated by neoclassical dogma and,
supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to …
supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to …
Asset demands and asset prices in the UK: is there a risk premium
CJ Green - The Manchester School of Economic & Social Studies, 1990 - ideas.repec.org
This paper argues that conventional methods for estimating portfolio demand functions and
asset pricing equations are often incorrect. The method used here is to invert theoretically …
asset pricing equations are often incorrect. The method used here is to invert theoretically …
The internationalization of equity markets
JA Frankel - 1993 - nber.org
This introduction to a forthcoming NBER volume on'The Internationalization of Equity
Markets' argues that the existing finance literature has in some respects not kept pace with …
Markets' argues that the existing finance literature has in some respects not kept pace with …
The constrained asset share estimation (CASE) method: testing mean-variance efficiency of the US stock market
We apply the method of constrained asset share estimation (CASE) to test the mean-
variance efficiency (MVE) of the stock market. This method allows conditional expected …
variance efficiency (MVE) of the stock market. This method allows conditional expected …
Adjustment costs and mean-variance efficiency in UK financial markets
CJ Green - Economic Modelling in the OECD Countries, 1988 - Springer
The mean-variance model has, for a long time, appeared to offer the most attractive
approach to understanding the workings of financial markets. 1 Beginning with the seminal …
approach to understanding the workings of financial markets. 1 Beginning with the seminal …