This paper evaluates the ability of the empirical model of asset pricing of Campbell(1993a,b) to explain the time-series and cross-sectional variation of expected returns ofportfolios of stocks. In Campbell's model, an alternative risk-return relationship is derivedby substituting consumption...

The paper characterizes several empirical regularities of closed- end fund prices and examines the extent to which a 'sentiment' model of asset prices is consistent with the empirical regularities. We find that after controlling for the effect of cross-border investment restrictions, country...

The paper characterizes several empirical regularities of closed- end fund prices and examines the extent to which a 'sentiment' model of asset prices is consistent with the empirical regularities. We find that after controlling for the effect of cross-border investment restrictions, country...