Conditional asset pricing models have been used to determine whether the value premium and other CAPM anomalies are due to risk. We show that the conclusions on whether these anomalies are due to risk are very sensitive to the choice of the information variables used to define good and bad...

This thesis includes two essays. Essay 1 concentrates on the use of conditional asset pricing models to speculate on the nature of the value premium. Previous findings seem to be strictly dependent upon the state variables used to define the "good" and "bad" states of the world. I investigate...

Conditional asset pricing models have been used to determine whether the value premium and other CAPM anomalies are due to risk. We show that the conclusions on whether these anomalies are due to risk are very sensitive to the choice of the state variables used to define good and bad states of...