This paper sets out to quantify, with the use of a consumption-based CAMP, the risk premiums inherent in the Israeli market for index-linked and non-index-linked bonds. In contrast to what has appeared in the macroeconomics literature, this study, quantifies the size and dynamics of two such...

This study explores multivariate methods for investment analysis based on a sample of return histories that differ in length across assets. The longer histories provide greater information about moments of returns, not only for the longer-history assets, but for the shorter-history assets as well.

We study a model of renegotiation between a borrower and lender in which there is the potential for moral hazard on each side of the relationship.

It is well established that recent prior winner and loser stocks exhibit return continuation; a momentum strategy of buying recent winners and shorting recent losers appears profitable in the post 1945 era. In contrast, the risk exposure of such a strategy has not been well understood; the...

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...