Frontmatter -- Contents -- Streetwise -- Introduction -- PART ONE: Market Behavior -- Challenge to Judgment (Fall 1974) -- The Dividend Puzzle (Winter 1976) -- The Capital Asset Pricing Model and the Market Model (Winter 1981) -- Factors in New York Stock Exchange Security Returns, 1931-1979...

This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their...

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Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. While these models do not focus on the relation between corporate yields and swap rates...

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation,...

In an international multicurrency context, with nonstochastic inflation, equilibrium asset pricing models dictate that all investors should hold a combination of their national risk-free bill and the world market portfolio partly hedged against currency risk. We show that the equilibrium hedge...