Manchester M13 9PL
Manchester Business School
New-Keynesian ICAPM, Return Anomalies, Capital Market Imperfections, Misspecification-Robust Inference
Time-varying Relative Risk Aversion; ICAPM; Nonlinear State-Space Model with GARCH
Time-varying Relative Risk Aversion, Hedging Components, Return Predictability, the Value Premium; Nonlinear State-Space Model with GARCH
Monetary Policy, Capital Market Imperfections, the Size and Value Premium, Momentum Premium, Misspecification-Robust Inference
The Size Premium, Volatility Regime Switching, Capital Market Imperfections
Time-varying Risk-Return Tradeoff and Hedging Coefficient, ICAPM
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