This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption...

Systematische Abweichungen zwischen gehandelten Marktpreisen und fundamentalen Werten von Wertpapieren zeigen bis heute, dass Kapitalmärkte weder vollkommen noch effizient sind. Sowohl die Finanzmarktforschung als auch die Investmentpraxis befassen sich weiter mit der Suche nach geeigneten...

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...