Nonlinearity and Endogeneity in Macro-Asset Pricing /
We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by...
| Autor principal: | Kramer, Charles |
|---|---|
| Otros Autores: | Hiemstra, Craig |
| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
1995.
|
| Colección: | IMF Working Papers; Working Paper ;
No. 1995/032 |
| Acceso en línea: | Full text available on IMF |
Ejemplares similares
-
Endogenous Time Preference and Endogenous Growth /
por: Zee, Howell
Publicado: (1994) -
Endogenous Monetary Policy Credibility in a Small Macro Model of Israel /
por: Argov, Eyal
Publicado: (2007) -
Asset Pricing in the International Economy /
por: Barrionuevo, Jose
Publicado: (1993) -
Financial Markets and Asset Pricing
por: #N/A
Publicado: (2003) - The Review of Asset Pricing Studies