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A Class of Models satisfying a Dynamical Version of the CAPM

Napp, Clotilde; Jouini, Elyès (2003), A Class of Models satisfying a Dynamical Version of the CAPM, Economics Letters, 79, 3, p. 299-304. http://dx.doi.org/10.1016/S0165-1765(03)00003-X

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Type
Article accepté pour publication ou publié
Date
2003
Journal name
Economics Letters
Volume
79
Number
3
Publisher
Elsevier Science Publishers
Pages
299-304
Publication identifier
Metadata
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Author(s)
Napp, Clotilde cc
Jouini, Elyès
Abstract (EN)
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.
Subjects / Keywords
CCAPM; Financial Markets; Market beta; Equilibrium; CAPM
JEL
D50 - General
G12 - Asset Pricing; Trading Volume; Bond Interest Rates