If investors are differently informed about the payoff of market-traded securities, then the traditional market portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal portfolio conditionally on his information. Which proxy to...

We study the performance of actively managed US equity mutual funds using traditional models and, as in previous studies, find that they perform negatively. At the same time, we note that the investments in mutual funds increase each year. It thus doesn't seem realistic to admit that mutual fund...

We derive a cross-sectional asset pricing measure from a noisy multi-asset rational expectations equilibrium model. The measure is based on the time-series covariance of an asset's returns and security prices. Empirically, stocks with a measure one standard deviation above and below the average...

This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We propose a rational expectations equilibrium model in which agents have information about asset specific and/or common components of stocks' payoffs. The model produces closed-form solutions for...

This paper assesses the extent of stock asymmetric information by considering the relationship between stock returns and prices. We generalize Grossman, Sanford J. and Joseph E. Stiglitz model (1980) in a multi-asset setting and show that larger asymmetric information engenders stronger,...