Equity costs of capital for individual firms are estimated using several models that relate expected returns to betas on one or more pervasive factors. A Bayesian approach incorporates prior uncertainty about an asset's mispricing as well as uncertainty about betas and factor means. Substantial...

A growing number of empirical studies suggest that betas of common stocks do not adquately explain cross-sectional differences in stock returns. Instead, a number of other variables that have no basis in extant theoretical models semm to have significant predictive ability.

We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other sources, by focusing on investor reaction to rating changes that were not accompanied by any economic fundamental event - Moody's refinement of its rating system. This refinement was...

This paper examines a continuous-time two country dynamic monetary equilibrium in which countries with possibly heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via money in the utility function. Given a price system, no-arbitrage...

Costs of equity for individual firms are estimated in a Bayesian analysis framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whoses...

This paper stuides the dynamics of equilibrium security prices when agents face differential dividend taxation. We construct a continuous-time equilibrium via a representative agent with stochastic weights. Agents differ in their pricing of risk inducing agent-specific consumption-based CAPMs,...

We study the dynamic equilibrium behavior of security prices in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We provide a complete characteriszation of equilibrium in terms of the primitives of the economy, via construction of a...

Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models.