Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting...

Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting...

This article reviews the recent scientific contributions which led to the emergence of the new multidisciplinary domain research of neurofinance, as a subsector of behavioral finance. Neurofinance as a cross-disciplinary field integrating Neurophysiology, Psychology and Finance adds to the...

We show the equivalence between the zero-beta version of a multi-factor arbitrage pricing model and a linear pricing model utilizing undiversified inefficient benchmarks in a given factor structure. The resulting linear model is a two-beta model, with one beta related to the inefficient...

This study examines, for the first time consistently, the performance of contrarian (value) strategies in the Athens Stock Exchange (ASE) based on the price/earnings ratios, dividend yields, size (in terms of market value), market to book ratios, financial leverage ratios and the beta...

This Synthesis and Assessment Product focuses on the connection between the scientific ability to predict climate on seasonal scales and the opportunity to incorporate such understanding into water resource management decisions. It directly addresses decision support experiments and evaluations...

This paper explores the consequences of discriminatory trade liberalization in the presence of quota-protected single-firm industries. In recent years, trade liberalization among developing nations increasingly has occurred outside of the multi-lateral, GATT-based, negotiating rounds. Instead we...

Screening equilibria, mainly those a la Rothchild-Stiglitz(1976), have been widely used to explain various aspects of mortgage contracting. In the real world, however, most mortghage contracting processes involve both signalling and screening. In this paper, we combine signalling and screening...

Since the mid-1970s the south-west of Australia has displayed a warming and drying trend in its climate. Using parametric and non-parametric methods this paper provides a decadal assessment of the profitability, productivity and productivity components of over 250 farms in the region. The farm...