The authors study the performance of the rational expectations hypothesis in multiperiod experimental markets with multiple assets. They find that the markets are generally inefficient from the point of view of full information aggregation. However, arbitrage relationships hold and it is not...

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the <link rid="b29">Fama and...

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular <link rid="b36">Heston-Rouwenhorst (1994)</link> model. We then...