A class of models satisfying a dynamical version of the CAPM

Elyès Jouini () and Clotilde Napp

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Abstract: Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Keywords: CAPM; CCAPM; market beta; equilibrium; financial markets (search for similar items in EconPapers)
Date: 2003
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00167159v1
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Citations: View citations in EconPapers (4)

Published in Economic Letters, 2003, pp.299-304

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Journal Article: A class of models satisfying a dynamical version of the CAPM (2003)
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