This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on...

This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We...

This paper investigates the impact of the Unremunerated Reserve Requirement (URR) measure recently imposed in Thailand by applying three quantitative techniques of Edison and Reinhart (2001). We find that the URR measure was not completely effective in stabilizing the exchange rate, which was...