Program and Data for "Asset holders' Consumption Risk and Tests of Conditional CCAPM"

Published: 10 March 2023| Version 2 | DOI: 10.17632/64sr8nwn64.2
Contributors:
Chanik Jo, Redouane Elkamhi

Description

The zipped folder contains the set of code and data necessary to replicate the results in the article "Asset holders' Consumption Risk and Tests of Conditional CCAPM" , forthcoming in the Journal of Financial Economics.

Files

Steps to reproduce

Please run "Step0ProcessData.m" first and remaining code.

Institutions

Chinese University of Hong Kong, University of Toronto Joseph L Rotman School of Management

Categories

Economics, Finance, Asset Pricing

Licence