Is the risk aversion parameter in the simple intertemporal consumption CAPM “small” as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this...

High dimensional covariance matrix estimation is considered in the context of empirical asset pricing. In order to see the effects of covariance matrix estimation on asset pricing, parameter estimation, model specification test, and misspecification problems are explored. Along with existing...

Includes bibliographical references (leaves [21-25]).

This thesis examines the impact of exchange rate risk on asset pricing under varying market structures. To understand this effect, in the first part of the thesis the analytical derivation of an international asset-pricing model within a mean-variance framework is attempted. In the second part,...

Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...

This article describes the academic debate about the usefulness of the capital asset pricing model (the CAPM) developed by Sharpe and Lintner. First the article describes the data the model is meant to explain—the historical average returns for various types of assets over long time periods....

The capital asset pricing model (CAPM), favored by financial researchers and practitioners fifteen years ago, holds that the extra return on a risky asset comes from bearing market risk only. But newer evidence supports the intertemporal CAPM (I-CAPM) theory (Merton 1973), which suggests that...

How does traditional portfolio theory adapt to the new facts? The old "two-fund" theorem becomes a "many-fund" theorem; some investors can improve returns by investing in portfolio strategies that let them take on nonmarket sources of risk; and other investors can shed nonmarket risks in the...

In the last 15 years, the cherished "random walk" view that stock returns are unpredictable, the "CAPM" view the market is the only benchmark and market exposure the only source of returns, and the "expectations hypothesis" relating interest rates of various maturities and countries have all...

This paper presents a new method for identifying triangular systems of time-series data. Identification is the product of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself both by allowing for a time-varying covariance and by...