The General Capital Asset Pricing Model (GCAPM) incorporates certain market imperfections. Levy concludes that in GCAPM equilibrium, all investors do not necessarily hold the market portfolio and that a security's own variance is priced. We show that financial intermediaries, responding to...

This study investigates the relationship among interest rates on the long-term governments bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these...

The application of generalized ARCH models to daily stock returns shows that changes in delivery and payment termsare an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach...

In this paper stock returns are modeled as a function of payment delays. Three hypotheses are tested: (1) that buyers compensate sellers for a six-business-day payment delay; (2) that the rate of compensation is the riskless rate; and (3) that this delay is solely responsible for day-of-the-week...

This paper models stock returns as a function of three components: a constant expected return, the impact of the mechanism for executing trades, and a rational expectations error. We examine changes in these parameters using Goldfeld and Quandt's (1976) deterministic switching based on time....

Most empirical research has found positive liquidity or term premiums. This paper shows that a completely spurious premium may be embedded in the observed yield curve. If payment delays - say, those due to check-clearing or brokerage accounts - in the government securities markets are priced,...

Previous research has established that stock returns tend to be low on Mondays and high on Fridays, and suggests that stock returns on Friday the thirteenth may be less than on other Fridays. We find that in a longer time series than previously studied, this difference is no longer significant...

We study a series of weekly term premia extracted from U.S. Treasury bill quotations from 1970-1982. We choose this period because it is characterized by high and variable inflation. We find that spot and forward rates are cointegrated and that the series of their differences is stationary. This...

In this paper stock returns are modeled as a function of payment delays. Three hypotheses are tested: (1) that buyers compensate sellers for a six-business-day payment delay; (2) that the rate of compensation is the riskless rate; and (3) that this delay is solely responsible for day-of-the-week...