Using Campbell's (1991) unexpected return decomposition, the implications of the Rational Valuation Formula are derived in terms of unconditional volatility of discount factors, given conditional return volatility and hence given the volatility of unexpected returns. This provides a bound on the...

Using monthly return data from January 1968 to December 2000, the study analyses the transmission of conditional return volatility across growth, growth and income, and income fund classes. It finds that volatility shocks transmit between the different classes in accordance with the standard...

The taxation of capital gains realized by European private investors in mutual funds must be analysed in order to detect distortions of competition of this relevant financial industry in the European Union. Using a contingency table methodology in different investment scenes, we detect that...