Systematic risk (Beta) is one of the most effective factors in predicting the appropriate required rate of return of portfolios. Understanding systematic risk of usual portfolio of various companies, investors consider financial investment more confidentially. The aim of this study is to...

We estimate consumption based asset pricing models using consumption and equity market data for fifteen countries from 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption CAPM that prices international stock returns via their...

This study investigates the role of two prominent concepts in finance: the role of limits to arbitrage and investor sentiment on stock prices. The study examines how changes in market-wide investor sentiment and limits to arbitrage affect the performance of nine UK stock market anomalies. The...