Asset pricing implications of money
We provide new evidence on the role of real money balances in terms of explaining equity risk premia by using a rich cross-section of average stock returns (associated with 11 major CAPM anomalies). By estimating Euler equations associated with a cash-in-advance (CIA) model, we find that such model...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2020
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| Texto completo: | http://hdl.handle.net/10362/109241 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/109241 |