they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories …

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and … Treasury and TIPS yields, in combination with a liquidity factor, generates negligibly small pricing errors for both real and …

We investigate intermediary asset pricing theories empirically and find strong support for models that have …-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross … pricing models that use intermediary net worth as a state variable, and it performs well in comparison to benchmark asset …

Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average … returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993 … return (SPREAD). This five-factor model helps to alleviate the pricing anomalies for financial sector stocks and also …

' balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U …