This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from complete and incomplete markets environments. For the incomplete-markets case, we use consumption data for 50 U.S. states. While the use of state-level data is conceptually...

This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the consumption-based capital asset pricing model (CCAPM) for size and value premia in international stock markets (USA, UK, and Germany). In order to account for commonalities...

By 'the paradox of asset pricing' Peter Bossaerts refers to his contention that, despite its apparent generality and sophistication, the theory of finance has largely been a failure empirically. Bossaerts reviews the major areas of finance: theory, empirical methods, empirical results and...