In this paper, a set of tests of models of relative capital asset pricesis developed. The tests are used to examine how well the models explain maturity premiums on Government bonds, though they are perfectly general and hence could be applied to stocks or other assets. Allowance is made in the...

Heterosedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume - i.e. unexpected above-avergae trading activity - which is derived from uncorrelated volume innovations. Assuming eakly exogenous volume, we extend the Lamoureux and...

In this Preface, we offer some analysis of the 2008-2009 financial crisis and its implications for financial industry reform and research. We primarily focus on issues relating to transparency and the measurement of risk and how these are affected by management incentives that are often...