"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of … (CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas …-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …