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On the Consequences of State Dependent Preferences for the Pricing of Financial Assets
Christos Giannikos / Hany Guirguis / Jean-Pierre Danthine / John B. Donaldson
asset pricingResource overview

On the Consequences of State Dependent Preferences for the Pricing of Financial Assets

Paper2002

by Christos Giannikos, Hany Guirguis, Jean-Pierre Danthine, John B. Donaldson

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asset pricing

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Suggested foundations for asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

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