Diversified returns, aggregate wealth and varying market risk premium: Testing the CAPM with data for Mexico

Autores/as

  • Lourdes Treviño Facultad de Economía, Universidad Autónoma de Nuevo León.

DOI:

https://doi.org/10.18381/eq.v6i1.105

Resumen

Sin resumen.

Descargas

Los datos de descargas todavía no están disponibles.

Citas

Ang, A. and J. Chen (2007). CAPM over the long run: 1926-2001, Journal of Empirical Finance. 14(1), 1-40.

Black, F. (1972). Capital market equilibrium with restricted borrowing, Journal of Business, 45, 444-455.

Bollerslev, T, R. F. Engle, and J. M. Wooldridge (1988). A capital asset pricing model with time varying covariances, Journal of Political Economy, 96, 116-131.

Campbell, J. Y., and T. Vuolteenaho (2004). Bad beta, good beta, American Economic Review, 94, 1249-1275.

Chen, N. F. (1991). Financial investment opportunities and the macroeconomy, Journal of

Finance, 46, 529-554.

Fama, E. F. and K. French (1989). Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23-50.

Fama, E. F. and K. French (1997). Industry costs of equity, Journal of Financial Economics, 43, 153-193.

Ferson, W. E., and C. R. Harvey (1991). The variation of economic risk premiums, Journal of Political Economy, 99, 385-415.

Harvey, C. R. (1989). Time-varying conditional covariances in tests of asset pricing models, Journal of Financial Economics, 24, 289–317.

Harvey, C. R. (2001). The specification of conditional expectations, Journal of Empirical

Finance, 8, 573-637.

Jagannathan, R. and Z. Wang (1996). The conditional CAPM and the cross-section of expected returns. The Journal of Finance, 51(1), 3-53.

Jostova, G. and A. Philipov (2005). Bayesian analysis of stochastic betas, Journal of Financial and Quantitative Analysis, 40, 747-778.

Keim, D. B. and R. F. Stambaugh (1986). Predicting returns in the stock and bond markets, Journal of Financial Economics, 17, 357-390.

Lettau, M. and S. Ludvigson (2001). Resurrecting the (C) CAPM: Across-sectional test when risk premia are timevarying, Journal of Political Economy, 109, 1238–1287.

Lewellen, J. and S. Nagel (2006). The conditional CAPM does not explain asset-pricing anomalies, Journal of Financial Economics, 82, 289-314.

Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics. 47(1), 13-37.

Mandelker, J. (1974). Risk and returns: the case of merging firms, Journal of Financial Economics, 4, 303-335.

Markowitz, H. M. (1952). Portfolio selection. Journal of Finance VII. 77-91.

Markowitz, H. M. (1959). Portfolio selection: Efficient diversification of investments, Cowles Foundation Monograph No. 16 (John Wiley. New York).

Mayers, D. (1972). Non-marketable assets and capital market equilibrium under uncertainty, in M.C. Jensen, ed., Studies in the theory of capital markets (Praeger, New York), 223-248.

Merton, R. C. (1980). On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, 8, 323-361.

Mossin, J. (1966). Equilibrium in a capital asset market, Econometrica, XXXIV, 768-783.

Petkova, R., and L. Zhang. (2005). Is value riskier than growth? Journal of Financial Economics, 78, 187-202.

Shanken, J. (1990). Intertemporal asset pricing: An empirical investigation, Journal of

Econometrics, 45, 99-120.

Shanken, J. (1992). On the estimation of beta-pricing models, Review of Financial Studies,

, 1-33.

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19(3), 425-442.

Stambaugh, R. F. (1982). On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis, Journal of Financial Economics, 10, 237-268.

Treviño, L. (2009). How are stock Market returns affected by human capital investments? Testing the CAPM for Mexico, Working Paper, Centro de Investigaciones Económicas, Universidad Autónoma de Nuevo León. Monterrey, México, Mimeo

Descargas

Publicado

2010-03-01

Cómo citar

Treviño, L. (2010). Diversified returns, aggregate wealth and varying market risk premium: Testing the CAPM with data for Mexico. EconoQuantum, 6(1), 127–136. https://doi.org/10.18381/eq.v6i1.105

Número

Sección

Suplemento Especial

Métrica