risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the …

Surprisingly there are very few estimates of the equity risk premium period-by-period that satisfy a no … factors - and a new econometric methodology, we provide new estimates of the equity risk premium for the US and the UK based … on monthly data 1975-2001. We obtain estimates of the risk premium for many of the best-known versions of consumption …

managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash … firm's earnings, stock returns, and managerial ownership, because governance impacts the firm's risk-return structure. In …

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads … to equilibration, and that, in equilibrium, risk premia are solely determined by covariance with aggregate risk. We …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our …

time-varying degree of integration that measures the importance of EU-wide risk relative to country-specific risk. The … model accounts for intra-European currency risk, time-varying quantities of risk and time-varying prices of risk. The …

The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …

We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …