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 ElkamhiDescription
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