size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …

basic firm’s stock market model and a modified Capital Assets Pricing Model (CAPM). The explanatory variables include risk …

The traditional literature on the CAPM assumes that investor's tax payments simply vanish from the model. This … interest rate rf = 0 will not affect prices if taxes are introduced. We show that this result can be extended to the CAPM if …

returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …

asset pricing model (CAPM) including size premiums and a time-varying parameter model for the North African emerging markets …

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …