Consumption-based asset pricing models (CCAPMs) connect asset returns with consumption growth. The poor empirical performance of early consumption models has led to the development of a number of more sophisticated models. Nevertheless, most models focus on the US markets, and very few CCAPMs...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

In this note, we present a wealth model of a two-country economy where ffnancial assets and goods are traded. We consider the case where the agents are risk neutral, a very common assumption in ffnance in order to have explicit solutions for prices, and in particular in international ffnance for...

This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and...

I propose and estimate conditional asset pricing models where the risk premiums of the markets are related to the conditional covariance of the markets with labor income growth within and across countries and the volatility of the markets are related to the shocks and interactions of stock...

The international asset pricing models are mostly developed in the case of parity failure (investors of different countries do not agree on the expected returns on securities). In this case, an equilibrium in the in- ternational asset markets may exist, but not in the international good markets....