Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …

We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When … investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and … funds result in high beta assets being over-priced. When aggregate disagreement is low, expected return increases with beta …

this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … cross section of 464 stocks and find that the beta measured with respect to a stock market index outperforms the beta …

alphas and betas. We show that under a conditional CAPM with time-varying betas, predictable market risk premia, and … stochastic systematic volatility, there is little evidence that the conditional alpha for a book-to-market trading strategy is …