Although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented, the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies. In this study, we develop a method to...

This paper tests conditional capital asset pricing models in a multivariate GARCH framework employing both constant and time-varying prices of market and bond risk. Depending on the interpretation of the market portfolio, the ICAPM with one hedge portfolio or the two-factor myopic CAPM are...

We propose a new model for conditional covariances based on predetermined idiosyncratic shocks as well as macroeconomic and <italic>own</italic> information instruments. The specification ensures positive definiteness by construction, is unique within the class of linear functions for our covariance...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis,...