Title of article
A class of models satisfying a dynamical version of the CAPM
Author/Authors
Elyès Jouini، نويسنده , , Clotilde Napp، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
6
From page
299
To page
304
Abstract
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption
Keywords
equilibrium , Market beta , CAPM , Financial markets , CCAPM
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435180
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