The main goal of this paper is to study the cross-sectional pricing of market volatility. The paper proposes that the … market return, diffusion volatility, and jump volatility are fundamental factors that change the investors’ investment … opportunity set. Based on estimates of diffusion and jump volatility factors using an enriched dataset including S&P 500 index …

This study extends the standard consumption-based capital asset pricing model (C-CAPM) to include two additional … low book-to-market portfolios, SMB, and HML that are not correctly priced in the standard C-CAPM. Consumption premium …

pricing model (C-CAPM). Although the conditional covariances of returns with consumption exhibit negative variation across … size, they do not vary across the book-to-market ratio. Thus, the C-CAPM can capture size effect, but not value effect …. Allowing the coefficients on the consumption covariances to be different largely improves the fit of the C-CAPM, however. The …

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book …-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The …

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …