The issue of 'best-beta'; arises as soon as potential errors in the Sharpe-Lintner-Black capital asset pricing model (CAPM) are acknowledged. By incorporating a target variable into the investor preferences, this study derives a best-beta CAPM (BCAPM) that maintains the CAPM's theoretical appeal...

Recent research has suggested that intra-day volatility may possess a component structure, though views differ as to whether this is the consequence of heterogeneous information arrival or the actions of heterogeneous market agents. Estimation results for a HARCH conditional variance model which...

This study investigates the 'term structure'; of implied volatilities of the NIKKEI 225 index options in order to examine the existence of investors' overreaction in the options markets in Japan. According to the rational expectations theory, the implied volatility on a longer maturity option...

This study argues that diminishing marginal impatience ( DMI ) as an intuitively plausible behavioural assumption of endogenous time preference has the potential for resolving important issues like the equity premium puzzle . It shows that, while applied to a model in the traditional overlapping...

This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?';1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also...

Agents are assumed to have a power risk aversion utility function in an otherwise standard asset-pricing model. When these preferences display decreasing relative risk aversion they are capable of eliminating one version of the equity premium and risk free rate puzzles.