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Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Colletta, Renato Dalla
2013-01-31

This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 ...