Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan. Design/methodology/approach: The study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type models....

Purpose – The purpose of this paper is to test a discrete time asset pricing model where a non‐marketable asset (human capital), along with other factors predicting stock returns, explain risk return relationship. The paper will add to the literature on risk return relationship with human...