Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its...

Errors in recorded security prices are a source of misspecification in the market model. If recorded price errors are sufficiently nonrandom, they result in biased returns and in biased and inconsistent estimates of market model regression coefficients. This paper argues that tax-induced...