Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
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- Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
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Keywords
Rate of return; Asset pricing;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2000-03-06 (Econometrics)
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