The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …