This paper presents the shadow Capital Asset Pricing Model (CAPM) of Ma (2011a) as an intertemporal equilibrium asset pricing model, and tests it empirically. In contrast to the classical CAPM - a single factor model based on a strong behavioral or distributional assumption, the shadow CAPM can...

Popular sentiment toward immigration is often antagonistic, making the integration of migrants one of the most important yet daunting challenges facing societies in advanced economies. Can information campaigns decrease public opposition to immigration? This paper reports results from a...

Popular sentiment toward immigration is often antagonistic, making the integration of migrants one of the most important yet daunting challenges facing societies in advanced economies. Can information campaigns decrease public opposition to immigration? This paper reports results from a...

Popular sentiment toward immigration is often antagonistic, making the integration of migrants one of the most important yet daunting challenges facing societies in advanced economies. Can information campaigns decrease public opposition to immigration? This paper reports results from a...

This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium...

This paper establishes general conditions for the validity of mutual fund separation and the equilibrium CAPM. We use partial preference orders that display weak form mean preserving spread (w-MPS) risk aversion in the sense of Ma (2011). We derive this result without imposing any distributional...