generated by aggregation ratherthan derived from stable individual preferences. …

as to the acceptability of spatial aggregation in hedonic property value models. Both statistical tests and tests based … upon prediction errors are performed in order to identify the circumstances under which aggregation is statistically … importance of specification and functional form as determinants of both the acceptability of aggregation and predictive power …

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on … fundamentals admits an approximate aggregation that is consistent with practical application. Theory and practice, therefore, may …Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset …

model derived from Rosen’s hedonic price theory. Two different stock market models are developed to estimate the model, a … basic firm’s stock market model and a modified Capital Assets Pricing Model (CAPM). The explanatory variables include risk …

The traditional literature on the CAPM assumes that investor's tax payments simply vanish from the model. This … assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an … interest rate rf = 0 will not affect prices if taxes are introduced. We show that this result can be extended to the CAPM if …

returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …