skewness can be readily tested. We apply the new GARCH-M model to study the relationship between risk and return in monthly … contrast to the previous literature, we show that a positive and significant relationship between return and risk can be …

probabilities. The results sugget that down side risk is significantly attributed to investor overreactoin, even though a small …

puzzle" -the fact that most households do not hold stocks, despite the diversification gains and the significant risk …-premium involved-, most motivations of these fixed costs are as incompatible with conventional portfolio theory as the non … alternatives to conventional portfolio theory. We find in Choquet expected utility theory a tool that is better equipped to deal …

low-risk-averse rational investors who learn the CAPM under incomplete, yet symmetric information. Periodic equilibrium … in efficient markets with rational investors. We introduce an Intertemporal-CAPM with market clearing between high- and … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning …

, interest rate and asset risk premium. The poor agent accumulates quickly wealth in the durable and postpones consumption. It is … preference for ownership decreases the equilibrium interest rate are provided. Nonseparabilities can cause a higher equity risk …

hedged for currency risk. We compare the mean-variance efficiency of this practice with two alternative strategies: a …