In a seminal contribution, Campbell (1996) [Campbell, J., 1996, Understanding Risk and Return, Journal of Political Economy 104(2), 298-345] proposed a methodology based on a VAR(1) process to test Merton's Intertemporal CAPM. Innovations in predictors of portfolio returns are estimated and used...

Does Corporate Social Responsibility (CSR) matter for the cross section of stock returns ? Constructing a CSR factor long irresponsible firms and short responsible ones, we show that CSR is pervasive in the cross section of the returns of portfolios sorted on size and book to market, momentum,...

We analyze the effects of asset return predictability at various horizons on an individual's portfolio strategy and welfare gains as measured by a certainty equivalent return rate, for long term investors. We use a method to account for long horizon predictability that does not make violence to...

We examine the issue of pricing futures and option contracts written on the Consumer Price Index (CPI), the change of which is a measure of inflation affecting the economy. Traditional approaches postulate an exogenous process for the price level and then derive CPI derivatives prices by...

We derive the general equilibrium short-term real and nominal interest rates in a monetary economy affected by technological and monetary shocks and where the price level dynamics is endogenous. Assuming fairly general processes for technology and money supply, we show that an inherent feature...

A systematic empirical finding is that foreign exchange risk is priced in international markets. The theoretical foundation for virtually all empirical models is the seminal contribution by Adler and Dumas [1983]. In that paper, the authors show that, in an international economy in which the...