Recent conditional tests show that exchange risk is priced in integrated international markets. However, these results are typically obtained assuming that intertemporal risk does not matter. We test an intertemporal international asset-pricing model where the investment opportunity set is...

We develop a three-moment international asset-pricing model (TM-IAPM) that prices coskewness and embeds the standard IAPMs as special cases. We use the model to investigate the time-series behavior of market, size, value, and momentum premiums in the United States, Japan, and the United Kingdom...

Asset-pricing theories involve expectations whereas asset-pricing tests are almost universally performed on noisy realizations. This paper addresses this fundamental yet difficult problem to find that the noise in realized returns endogenizes the market factor, thereby causing the measured risk,...

Many financial economists are puzzled by the fact that stock returns are higher under Democratic than Republican presidencies. In this paper, we test whether this return differential is explained by risk using a conditional version of the Fama and French (1993) model that allows risk to vary...