We provide empirical evidence that CAPM-betas positively predict asset returns when market returns are predicted to be high, which occurs about every other month. Consequently, the product of beta and the predicted market return (CAPM) predicts asset returns by combining the out-of-sample...

If investors can hedge risk at no cost, then the CAPM should hold period by period (Merton, 1973). That is, the time-t expected return of an asset should be equal to the product of its time-t beta and the time-t market expected return. We empirically test this CAPM relation on equity portfolios....

This study finds specification of minimum portfolio returns to be delivered by VCs in contracts that subsist between VCs and their principals is not a necessary condition for incentivization of optimal portfolio performance. Within populations of VCs who are characterized by risk aversion,...

Typically, studies of efforts of economic agents do not distinguish between efforts that directly generate returns (`return effort') and efforts that facilitate demonstration of return effort, that is, `return effort cost'. This study provides formal theoretical evidence that a distinguishing of...

We develop a model of dealer-intermediated over-the-counter (OTC) markets in which customers choose their relationship dealers and dealers choose their levels of expertise, thereby determining the market structure and price informativeness jointly. We find that, in general, multiple equilibria...

We investigate the dynamic problem of how much attention an investor should pay to news in order to learn about stock-return predictability and maximize expected lifetime utility. We show that the optimal amount of attention is U-shaped in the return predictor, increasing with both uncertainty...

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

We compute monthly correlation matrices of 25 global futures markets in four asset classes: fixed income, commodities, equities, fx. Comparing and grouping those correlation matrices leads to distinct «regimes» in time. We can characterize these regimes by futures market returns, finding...

Purpose: The purpose of this paper is to study if actively managed exchange-traded funds (AMETFs) and actively manager mutual funds (AMMFs) are complements or substitutes. It also tests if there are tax or liquidity clientele effects. Design/methodology/approach: The study investigates the...