Conditional risk premia in the consumption: CAPM
Mele, Daniel (A.A. 2019/2020) Conditional risk premia in the consumption: CAPM. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 51. [Master's Degree Thesis]
|
PDF (Full text)
Download (833kB) | Preview |
Abstract/Index
Econometric framework. Model performance evaluation. Data & descriptive statistics. Empirical results. Fama and French. Pricing the cross-section. Principal component evidence. Evidence from the Covid-19 crisis. Industry portfolios analysis. Robustness checks. Predictability of consumption growth.
References
Bibliografia: pp. 35-36.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Reichlin, Pietro |
| Academic Year: | 2019/2020 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Jan 2021 11:54 |
| Last Modified: | 21 Jan 2021 11:54 |
| URI: | https://tesi.luiss.it/id/eprint/28135 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
