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8,797
Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying
- Journal of Political Economy
, 2001
"... This paper explores the ability of conditional versions of the CAPM and the consumption CAPM—jointly the (C)CAPM—to explain the cross section of average stock returns. Central to our approach is the use of the log consumption–wealth ratio as a conditioning variable. We demonstrate that such conditio ..."
Abstract
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Cited by 246 (10 self)
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This paper explores the ability of conditional versions of the CAPM and the consumption CAPM—jointly the (C)CAPM—to explain the cross section of average stock returns. Central to our approach is the use of the log consumption–wealth ratio as a conditioning variable. We demonstrate
Determinants of Economic Growth: A Cross-Country Empirical Study
, 1996
"... Empirical findings for a panel of around 100 countries from 1960 to 1990 strongly support the general notion of conditional convergence. For a given starting level of real per capita GDP, the growth rate is enhanced by higher initial schooling and life expectancy, lower fertility, lower government c ..."
Abstract
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Cited by 892 (12 self)
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Empirical findings for a panel of around 100 countries from 1960 to 1990 strongly support the general notion of conditional convergence. For a given starting level of real per capita GDP, the growth rate is enhanced by higher initial schooling and life expectancy, lower fertility, lower government
Versatile Low Power Media Access for Wireless Sensor Networks
, 2004
"... We propose B-MAC, a carrier sense media access protocol for wireless sensor networks that provides a flexible interface to obtain ultra low power operation, effective collision avoidance, and high channel utilization. To achieve low power operation, B-MAC employs an adaptive preamble sampling scheme ..."
Abstract
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Cited by 1099 (19 self)
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applications. We use the model to show the effect of changing B-MAC’s parameters and predict the behavior of sensor network applications. By comparing B-MAC to conventional 802.11inspired protocols, specifically S-MAC, we develop an experimental characterization of B-MAC over a wide range of network conditions
A message ferrying approach for data delivery in sparse mobile ad hoc networks
- In Proc. of ACM Mobihoc
, 2004
"... Mobile Ad Hoc Networks (MANETs) provide rapidly deployable and self-configuring network capacity required in many critical applications, e.g., battlefields, disaster relief and wide area sensing. In this paper we study the problem of efficient data delivery in sparse MANETs where network partitions ..."
Abstract
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Cited by 498 (14 self)
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of MF via extensive ns simulations which confirm the MF approach is efficient in both data delivery and energy consumption under a variety of network conditions.
The forward discount anomaly and the risk premium: A survey of recent evidence
- JOURNAL OF EMPIRICAL FINANCE
, 1996
"... Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward ..."
Abstract
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Cited by 400 (11 self)
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premiums is surveyed. Included in this area are tests of the consumption CAPM, tests of the latent variable model, and portfolio-balance models of risk premiums. General equilibrium models of the risk premium are examined and their empirical implications explored. The survey does not cover the important
Conditional skewness in asset pricing tests
- Journal of Finance
, 2000
"... If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expect ..."
Abstract
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Cited by 342 (6 self)
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If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation
Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information
, 2011
"... We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return pro
le of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning variabl ..."
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variable is a forward-looking measure of net foreign assets. It arises from an intertemporal budget constraint and has predictive power for exchange rates. We
nd that our conditional consumption-CAPM is able to price a large part of the variation in cross-section of carry trade portfolios using cross
Epidemic routing for partially-connected ad hoc networks
, 2000
"... Mobile ad hoc routing protocols allow nodes with wireless adaptors to communicate with one another without any pre-existing network infrastructure. Existing ad hoc routing protocols, while robust to rapidly changing network topology, assume the presence of a connected path from source to destination ..."
Abstract
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Cited by 358 (0 self)
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to destination. Given power limitations, the advent of short-range wireless networks, and the wide physical conditions over which ad hoc networks must be deployed, in some scenarios it is likely that this assumption is invalid. In this work, we develop techniques to deliver messages in the case where
PEAS: A Robust Energy Conserving Protocol for Long-lived Sensor Networks
, 2003
"... In this paper we present PEAS, a robust energyconserving protocol that can build long-lived, resilient sensor networks using a very large number of small sensors with short battery lifetime. PEAS extends the network lifetime by maintaining a necessary set of working nodes and turning o redundant one ..."
Abstract
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Cited by 349 (5 self)
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and analysis show that PEAS can maintain an adequate working node density in the face of up to 38% node failures, and it can maintain roughly a constant overhead level under various deployment conditions ranging from sparse to very dense node deployment by using less than 1% of total energy consumption. As a
The conditional CAPM does not explain assetpricing anomalies
- Journal of Financial Economics
, 2006
"... providing data. ..."
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