We reexamine whether investors can gain abnormal returns using the cross-sectional autoregressive model of stock returns. We find that the pattern of abnormal returns obtained is inconsistent over the time period 1934-94. We adjust for the higher commission costs in the pre-May 1 1975 period, a...

Litzenberger and Ramaswamy's (1979) model is used to test whether expected dividend yield is priced for Hong Kong stocks. Unlike the case in the United States, there are no taxes on dividend income nor on capital gains in Hong Kong. It is found that expected dividend yield has no effect on stock...

We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...

When one prospect is certain and the other uncertain, Cumulative Prospect Theory employs the certainty equivalent methodology to estimate Decision Weights (DW). However, DW may be different with two uncertain prospects. In this study, we neutralize the "certainty effect" and propose Stochastic...