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 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...

In this paper, we analyze how large institutions differ from other investors and the implications that these differences have for stock returns, market liquidity, and corporate governance. We find that large institutional investors -- a category including all managers with greater than $100...

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.

We study a variety of optimal investment problems for objectives related to aataining goals by a fixed terminal time.

We startd out this paper with a list of Facts that financial theorizing should attempt to explain. We discussed the Facts in enough detail so that the reader can appreciate the caution one needs to display while interpreting evidence form financial databases.

A Bayesian estimation procedure is developed for estimating multiple regime vector autoregressive models appropriate for deviations from financial arbitrage relationships. This approach has clear advantages over classical stepwise threshold autoregressive analysis.