We examine the effects of opacity on bank valuation and synchronicity in bank equity returns over the years 2000–2006 prior to the 2007 financial crisis. As expected, investments in opaque assets are more profitable than investments in transparent assets, and taking profitability into account,...

In this paper we develop a capital asset pricing model in a mean lower partial moment framework. Specifically, we show that when partial moments are computed about the expected risky portfolio return, optimal portfolio choice in a mean lower partial framework permits a two-fund portfolio...