This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

"We survey three distinct types of financial crises which took place in the 1990s and the 2000s: 1) the credit implosion leading to severe banking crisis in Japan; 2) The foreign reserves' meltdown triggered by foreign hot money flight from frothy economies with fixed exchange rate regimes of...