Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations … of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation …

equity prices respond to continuous, or \smooth," and jumpy, or \rough," market price moves, and how these different market … price risks, or betas, are priced in the cross-section of expected returns. Based on a novel highfrequency dataset of almost …

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on …

returns and conditional volatility. A Markov switching model describes the risk-return trade-off well. A number of variables …

In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of … strike price, the highest efficiency of side- betting is achieved, re?ected by a unique maximum point of the ex ante …

statistically significant. We do not find a strong relationship between realized volatility and next week?'s stock returns. …