The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consump-tion data. The...

The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consump-tion data. The...

We present a test of the theory of the term structure developed by Cox, Ingersoll, and Ross (CIR). The econometric method uses Hansen’s Generalized Method of Moments and exploits the probability distribution of the single state variable that determines real bond prices. The approach avoids...

The institutional features of the Tokyo Stock Exchange allow tests that provide new insights into the determinants of stock return variances. When the exchange is open on Saturday, the weekend variance is roughly 60% higher than when it is closed. However, weekly variances are not increased by...

Oil futures markets frequently exhibit backwardation whereby more distant oil futures prices are below the current spot price. This is inconsistent with Hotelling’s theory that the net price of an exhaustible resource rises over time at the interest rate. We characterize an oil well as a call...

A comparative static analysis of a competitive equilibrium under heterogeneous earn-ings expectations and constant absolute risk aversions demonstrates that unsystem-atic trading volume in response to a public information release is proportional to the change in relative heterogeneity of beliefs...

This study develops procedures for testing announcement effects on intraday stock returns. Intraday stock returns surrounding announcements of new issues of equity and debt are examined. During the first fifteen minutes following new equity issue announcements, there is an abnormally large...

A comparative static analysis of a competitive equilibrium under heterogeneous earn-ings expectations and constant absolute risk aversions demonstrates that unsystem-atic trading volume in response to a public information release is proportional to the change in relative heterogeneity of beliefs...

The unbundling of' coupon bonds into pure discount bonds made feasible patterns of dated nominal claims that were not previously attainable. Differences between the market values of coupon bonds and the spanning portfolios of pure discount bonds are consistent with a non-tax related segmentation...