In applying the Capital Asset Pricing Model (CAPM) to cost of capital calculations, practitioners treat the market risk premium as a free parameter to be estimated from data. However, this process ignores equilibrium in the cash market and therefore the implications of the CAPM for the premium...

We analyse the reaction of the New Zealand stock market to five economically-neutral events that psychology research indicates have varying degrees of influence on emotion and mood. Contrary to behavioural finance principles, only one of these events is associated with mean or median returns...