value of the parameter is ascribed. Our approach outperforms the standard market pricing procedure based on the Gaussian …

risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing …

shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model … investigate the implications of erroneously neglecting coskewness for testing asset pricing models, with particular interest for …

best explains asset pricing data. This paper studies the ability of a general class of habit-based asset pricing models to … match the conditional moment restrictions implied by asset pricing theory. Our approach is to treat the functional form of … about the specification of habit-based asset pricing models, and to formally test the framework's ability to explain stock …