We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. …

than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …

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. …

. Lack of liquidity means that an asset cannot be immediately traded at any point in time. We find the portfolio share of … financial wealth invested in illiquid assets given the liquidity premium. Benchmark calibrations imply a portfolio share of 2 …

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …