Multi-Period Models: Empirical Tests

Emilio Barucci and Claudio Fontana
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Emilio Barucci: Politecnico di Milano
Claudio Fontana: Université Paris Diderot (Paris 7)

Chapter Chapter 7 in Financial Markets Theory, 2017, pp 347-395 from Springer

Abstract: Abstract This chapter is devoted to an extensive overview of the empirical evidence on classical asset pricing theory. In particular, the attention is focused on the empirical properties of the observed prices and returns and on several anomalies reported in the literature, including the excess volatility phenomenon, the predictability of asset returns, the equity premium puzzle, the risk free rate puzzle and other related asset pricing puzzles.

Keywords: Excess Return; Asset Return; Risk Free Rate; Relative Risk Aversion; Capital Asset Price Model (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-4471-7322-9_7

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DOI: 10.1007/978-1-4471-7322-9_7

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