(CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas …-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three …

high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its … results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …