Nonlinearity and Endogeneity in Macro-Asset Pricing

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 the simple relationship in Chen, Roll and Ross... READ MORE...

Publication date: March 1995
ISBN 9781451845082
$15.00

Add to Cart by clicking price of the language and format you'd like to purchase

Available Languages and Formats

Paperback

Publication date: March 1995

PDF

Publication date: March 1995

ePub

Publication date: March 1995

Mobi

Publication date: March 1995

English