The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry with varying dimensions. The first set consists of three...

The present study examines the dynamics of saving, human wealth, and asset pricing nexus across developed and emerging economies. We introduce two equilibrium asset pricing models in an intertemporal capital asset pricing framework, including the priced factors, human wealth, and market...

The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step...

Purpose – Success of a television game show requires brand-building effort and brand value management like any other product. However, aspects of information, entertainment, novelty, instant gratification, and experience dimensions are more salient in game shows. This has been amply proven by...

The fundamental research question associated with the asset pricing framework relates to the risk and return relationship in return predictability. We introduce the human capital component to the Fama–French five‐factor model and derive an equilibrium six‐factor asset pricing model in an...

We argue that the risk of an asset is measured by the covariance of an asset's return with the return on the aggregate market and human capital. The intertemporal and consumption-based CAPM, along with an extended version of CAPM framework examines the excess return on Fama and French portfolios...

We study the international stock returns across Europe, Asia Pacific, North America, US, Japan, Global, and Global excluding US. We find there are value premiums in average stock returns across the regions. There is momentum return in all the regions except for Japan. With the exception of...

Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan.Design/methodology/approach: The study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type...