Asset pricing with disequilibrium price adjustment: theory and empirical evidence

DOI10.1080/14697688.2011.572901zbMath1280.91075OpenAlexW2142411857MaRDI QIDQ5746757

Chiung-Min Tsai, Alice C. Lee, Cheng-Few Lee

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.572901

zbMATH Keywords

CAPMdividendsdisequilibriumtwo-stage least squareprice adjustmentdynamic CAPM

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• A further empirical investigation of the dividend adjustment process
• An Intertemporal General Equilibrium Model of Asset Prices
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Common risk factors in the returns on stocks and bonds
• Maximum Likelihood Methods for Models of Markets in Disequilibrium