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Measuring 'Dark Matter' in Asset Pricing Models · Study

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PreprintMeasuring 'Dark Matter' in Asset Pricing Models

Hui Chen2013

OA

Preprintgreen2013

Measuring 'Dark Matter' in Asset Pricing Models

Hui Chen · Winston Wei Dou · Leonid Kogan

28 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles n.d.A model of investor sentiment /1989Maxmin expected utility with non-unique prior 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1988Stock Prices, Earnings, and Expected Dividends

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2326753

openalex_workW4211083441

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