Title:

Estimating and Testing Investment-Based Asset Pricing Models

Authors:

Frederico Belo (INSEAD, CEPR)
Yao Deng (U Connecticut)
Juliana Salomao (NBER, CEPR, U Minnesota)

Journal:

Journal of Financial Economics

Year:

2024

Volume:

162

JEL codes:

C13 - Estimation
C52 - Model Evaluation and Selection
E2 - Consumption, Saving, Production, Employment, and Investment
E44 - Financial Markets and the Macroeconomy
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies

DOI:

10.1016/j.jfineco.2024.103945