This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental...

Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a common, time-varying...

The efficient markets hypothesis has dominated modern research on asset prices. Asset prices and their intrinsic values differ in inefficient financial markets but difficulties in the measurement of intrinsic value greatly complicate market efficiency tests. Reflections on the measurement of...

In a Modigliani-Miller world, price equals the risk-adjusted present value of future dividends and dividend policy is irrelevant for asset pricing. This paper searches for cash flows with two characteristics: asset prices can be calculated from their present values and they are invariant with...

This paper builds on the lessons from recent financial crises to develop an analytically tractable risk management metric that more accurately measures potential exposures to financial crises and also captures volatility during non-crisis times. We develop a multiple-regime stress-loss risk...

This panel session, prompted by the financial crisis of 2007-2008, focuses on issues related to the soundness and regulation of financial firms that are not necessarily traditional banks, at times of crises in financial stability. An example is the demise of Bear Stearns. The focus of the panel...

A fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution (IMRS). Previous empirical research, however, has found that the co-movements of consumption and asset return data fail to satisfy the...

We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation of outcomes of empirical tests−between performance measurement and conventional asset pricing models are analyzed. We also discuss how...