Recent conditional tests show that exchange risk is priced in integrated international markets. However, these results are typically obtained assuming that intertemporal risk does not matter. We test an intertemporal international asset-pricing model where the investment opportunity set is...

We develop a three-moment international asset-pricing model (TM-IAPM) that prices coskewness and embeds the standard IAPMs as special cases. We use the model to investigate the time-series behavior of market, size, value, and momentum premiums in the United States, Japan, and the United Kingdom...

This paper examines open market stock repurchases in France. We find a positive average market reaction to the repurchase announcement. However, the magnitude of the price reaction is found to depend on a number of corporate governance structure measures. The positive aspects of the announcement...