We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...

In this paper we study international asset pricing models and the pricing of global and local market risks as well as currency risk in the Russian stock market from an international investors' point of view using weekly data from 1999 to 2009. In our empirical specification, we utilize the...

While thousands of pages have been written by academia and practitioners about common ordinary Beta, little has been written about Total Beta. Extant writing on Total Beta is, primarily, a good mix of confusion over: (1) what Beta is supposed to represent; (2) the proper use of statistical...

As of late, the business appraisal profession has been inundated with articles defending or rebutting Total Beta, and discussing various related aspects of capital market theory. . . . . Much of the discussion is convoluted and, alas, much misstates fundamental concepts and theory. There appear...

We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each asset and period using the time-series of previous data....