periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays …

to temperature risks across global markets is significantly negative and has been increasing in magnitude over time along …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and to estimate it along with … described as internal rather than external, and the estimated time-preference parameter and the power utility parameter are …, (ii) Lettau and Ludvigson (2001) scaled consumption CAPM model, (iii) an external habit SDF proxy, (iv) the classic CAPM …

this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on …

average returns. This rules out typical risk-based explanations and is a challenge to structural models of time …