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]

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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.


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


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