What are the cross-sectional and time-series characteristics of corporate bond returns? Do corporate bond risk premia vary over time and are these time-variations predictable? And if yes, is it a sign of market inefficiency? Recent empirical studies show a strong mean reversion at the monthly...

Asset managers usually define a policy portfolio to provide a long-term benchmark. According to the CAPM, the policy portfolio should be the value weighted market portfolio of all assets. However, the practical implementation of such a policy portfolio is not straightforward. First, it is...

We extend the d cifically we analyse constant absolute and constant relative risk aversion, provide conditionsfor the existence of equilibrium, and evaluate equilibrium prices at US-data. We find that constant absolute risk aversion works particularly well at moderate levels of risk aversion. In...

In some countries, it is common that initial public offerings (IPOs) are preceded by forward ("when-issued'') trading of the shares; in the U.S., such trading is prohibited. We analyze the effect of when-issued trading on the pricing and allocation of IPO shares. We demonstrate that the optimal...