This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell-Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a...

This paper is about one of the most argued subjects in the financial theory: the forecast of future returns. We work with the model of multifactor of Fama and French, and the regression presented for Grinblatt and Moskowitz (2002), that work with the size of the company and the book-to-value. We...

Although banks are central to the economic development and growth of emerging markets (Benston, 2004), most studies have not investigated the determinants of stock returns of this sector in these countries. This study, contributes to the literature in finance by investigating and identifying...