FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2115460606> ?p ?o ?g. }

• W2115460606 endingPage "1069" @default.
• W2115460606 startingPage "1044" @default.
• W2115460606 abstract "Abstract This study uses survey data on traders' exchange rate forecasts to test whether their expected excess returns are related to the covariance between the exchange rate and consumption; as predicted by the consumption capital asset pricing model ( CCAPM ). The covariance is measured through the novel use of rolling windows of the realized covariance (both forward and backward looking) and testing is conducted with the cointegrated VAR . The model is able to account for expected returns with more plausible degrees of risk aversion, but only when using sufficiently long, backward‐looking measures of the covariance. This suggests that market participants assess risk, in part, based upon the pro‐cyclicality of returns, and infer it from experience in the recent past. There is also evidence that inclusion of the real exchange rate improves the plausibility of the estimates and the model fit." @default.
• W2115460606 created "2016-06-24" @default.
• W2115460606 creator A5059108222 @default.
• W2115460606 date "2015-10-08" @default.
• W2115460606 modified "2023-10-01" @default.
• W2115460606 title "Can the Consumption Capital Asset Pricing Model Account for Traders' Expected Currency Returns?" @default.
• W2115460606 cites W1490419829 @default.
• W2115460606 cites W1532511870 @default.
• W2115460606 cites W1603751424 @default.
• W2115460606 cites W1935955289 @default.
• W2115460606 cites W1966268097 @default.
• W2115460606 cites W1977214985 @default.
• W2115460606 cites W2014405898 @default.
• W2115460606 cites W2024276614 @default.
• W2115460606 cites W2034707435 @default.
• W2115460606 cites W2043697648 @default.
• W2115460606 cites W2050567478 @default.
• W2115460606 cites W2067790650 @default.
• W2115460606 cites W2092371901 @default.
• W2115460606 cites W2106972544 @default.
• W2115460606 cites W2110603299 @default.
• W2115460606 cites W2115661130 @default.
• W2115460606 cites W2140585983 @default.
• W2115460606 cites W2153562738 @default.
• W2115460606 cites W2160128709 @default.
• W2115460606 cites W2163388377 @default.
• W2115460606 cites W2570834760 @default.
• W2115460606 cites W2922988727 @default.
• W2115460606 cites W3121364726 @default.
• W2115460606 cites W3121418714 @default.
• W2115460606 cites W3121974517 @default.
• W2115460606 cites W3122302604 @default.
• W2115460606 cites W3124214509 @default.
• W2115460606 cites W3142126553 @default.
• W2115460606 doi "https://doi.org/10.1111/roie.12195" @default.
• W2115460606 hasPublicationYear "2015" @default.
• W2115460606 type Work @default.
• W2115460606 sameAs 2115460606 @default.
• W2115460606 citedByCount "5" @default.
• W2115460606 countsByYear W21154606062016 @default.
• W2115460606 countsByYear W21154606062017 @default.
• W2115460606 countsByYear W21154606062018 @default.
• W2115460606 countsByYear W21154606062021 @default.
• W2115460606 crossrefType "journal-article" @default.
• W2115460606 hasAuthorship W2115460606A5059108222 @default.
• W2115460606 hasConcept C105795698 @default.
• W2115460606 hasConcept C106159729 @default.
• W2115460606 hasConcept C129915516 @default.
• W2115460606 hasConcept C141121606 @default.
• W2115460606 hasConcept C144024400 @default.
• W2115460606 hasConcept C149782125 @default.
• W2115460606 hasConcept C162324750 @default.
• W2115460606 hasConcept C167626555 @default.
• W2115460606 hasConcept C178650346 @default.
• W2115460606 hasConcept C181236170 @default.
• W2115460606 hasConcept C205706631 @default.
• W2115460606 hasConcept C2776988154 @default.
• W2115460606 hasConcept C30772137 @default.
• W2115460606 hasConcept C33923547 @default.
• W2115460606 hasConcept C36289849 @default.
• W2115460606 hasConcept C38652104 @default.
• W2115460606 hasConcept C41008148 @default.
• W2115460606 hasConcept C556758197 @default.
• W2115460606 hasConcept C76178495 @default.
• W2115460606 hasConceptScore W2115460606C105795698 @default.
• W2115460606 hasConceptScore W2115460606C106159729 @default.
• W2115460606 hasConceptScore W2115460606C129915516 @default.
• W2115460606 hasConceptScore W2115460606C141121606 @default.
• W2115460606 hasConceptScore W2115460606C144024400 @default.
• W2115460606 hasConceptScore W2115460606C149782125 @default.
• W2115460606 hasConceptScore W2115460606C162324750 @default.
• W2115460606 hasConceptScore W2115460606C167626555 @default.
• W2115460606 hasConceptScore W2115460606C178650346 @default.
• W2115460606 hasConceptScore W2115460606C181236170 @default.
• W2115460606 hasConceptScore W2115460606C205706631 @default.
• W2115460606 hasConceptScore W2115460606C2776988154 @default.
• W2115460606 hasConceptScore W2115460606C30772137 @default.
• W2115460606 hasConceptScore W2115460606C33923547 @default.
• W2115460606 hasConceptScore W2115460606C36289849 @default.
• W2115460606 hasConceptScore W2115460606C38652104 @default.
• W2115460606 hasConceptScore W2115460606C41008148 @default.
• W2115460606 hasConceptScore W2115460606C556758197 @default.
• W2115460606 hasConceptScore W2115460606C76178495 @default.
• W2115460606 hasIssue "5" @default.
• W2115460606 hasLocation W21154606061 @default.
• W2115460606 hasOpenAccess W2115460606 @default.
• W2115460606 hasPrimaryLocation W21154606061 @default.
• W2115460606 hasRelatedWork W2108113183 @default.
• W2115460606 hasRelatedWork W2130830554 @default.
• W2115460606 hasRelatedWork W2192451191 @default.
• W2115460606 hasRelatedWork W2332099316 @default.
• W2115460606 hasRelatedWork W2601936222 @default.
• W2115460606 hasRelatedWork W2769774702 @default.
• W2115460606 hasRelatedWork W2811326135 @default.
• W2115460606 hasRelatedWork W3123701959 @default.
• W2115460606 hasRelatedWork W3124439705 @default.
• W2115460606 hasRelatedWork W4285071436 @default.
• W2115460606 hasVolume "23" @default.

• next