实证资产定价Empirical Asset Pricing复习资料.pdfVIP

Doctoral Seminar in Empirical Finance Topic 4 The Conditional (Consumption) CAPM Lecturer: Lars A. L¯chst¯er London Business School January 30, 2008 1 Main Concepts Lecture 4 Can a Conditional (C)CAPM explain the failure of the unconditional (C)CAPM? ñ Math of conditional models (Cochrane Ch. 8). The second coming of standard models: Two papers that claim the success of the CAPM and the Consumption CAPM