of in-sample and out-of-sample predictability across different stock markets. Overall, these findings suggests that … return predictability is not a uniform and a universal feature across international capital markets. …

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on …

this, it is deduced that systematic pricing errors occur in equity markets which hence can not be efficient in the Effcient …One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is … investment style indices from an integrated European Equity market, all usual assumptions are dropped. This is achieved by …

decomposition, distinguishing cash flow and discount rate betas in up and down markets. Using CRSP data over 1963--2008, we find …

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

risk averse, asset markets large, and variance-mean ratios of asset returns high in fully revealing rational expectations …