In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

This paper uses panel data and Euler equations to estimate preference specifications that are nonseparable in consumption and leisure. The econometric analysis uses panel data, and therefore it differs from existing econometric studies that use a representative agent framework. Moreover, the...

This paper estimates the rate of relative risk aversion using Euler equations based on household-level consumption data. These Euler equations are implications of market structures that do not necessarily allow agents to perfectly insure themselves. The paper focuses on tests of the...

This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from complete and incomplete markets environments. For the incomplete-markets case, we use consumption data for 50 U.S. states. While the use of state-level data is conceptually...

In this paper, we match both the first and the second moments of the equity premium and the risk-free rate by endowing the agents in the economy with disappointment aversion preferences and by making the joint process of consumption and dividends follow a Hamilton's (1989) Markov switching...

Cet article examine de manière conjointe les effets de la taille, des ratios bénéfice/cours et valeur comptable/valeur marchande des actions sur les rendements des actions canadiennes. Il présente une estimation des primes de risque associées à chacune de ces anomalies de marché. Les...

We consider three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs with implications for market timing, and dependence (and...

We examine whether risk, timing or mispricing hypotheses can explain the underperformance of private and public equity issuers, in Canada, where both categories share several common characteristics. Adding an investment risk factor to the TFPM reduces, but does not eliminate, the...

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...