We examine an important aspect of empirical estimation of term structure models; the role of conditioning information in dynamic term structure models. The use of both real-world or simulated data implicitly incorporates conditioning information. We examine the bias created, in estimating the...

We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios....

We study, using the idea of stochastic dominance, the long-run post merger stock performance of UK acquiring firms. We compare performance by using the entire distribution of returns rather than only the mean as in traditional event studies. Our main results are as follows: First, we find that,...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. In contrast to previous work, we use a scaled stochastic discount factor instead of scaled or managed portfolio returns. Our...

ABSTRACT This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long‐run relationship. Moreover, changes in sentiment towards...

In this paper I develop the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally I introduce dynamics into the model and represent conditioning...

We use a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of regularities in the pattern of daily returns and volatility...