how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to …The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of … than testing a specific hypothesis, my goal is to let the data speak for itself.The main difficulty with assessing CAPM is …

Neoclassical analysis of the labor market and its institutions. A systematic development of the theory of labor supply …

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset …, most empirical applications, as well as the best practice in the financial industry, ignore much of what theory has to say …

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 …