This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...

We find an asset pricing model which consists of the market portfolio, the market skewness or co-skewness factors, and portfolio idiosyncratic volatility factor best explains portfolio risk-return trade-offs on the Nigerian Stock Exchange (NSE), indicating this model is appropriate for studies...

Typically, models of stock prices or returns assume homogeneity of risk preference parameters. This study shows modeling of IPO prices necessarily is with reference to the distribution of risk preference parameters that already are represented in secondary equity markets. Modeling of stock...

Using data from 1980 through 2005, and implementations of the Intertemporal Capital Asset Pricing Model (ICAPM), this study consistently generates positive intertemporal risk-return relations within venture capital markets. During the first five years of business, venture capitalists (VCs) are...

Modeling the native properties and pricing implications of risk preferences, and explicitly imposing portfolio theory, this study arrives at the rationalization of several risk-return anomalies and some new insights. First, study findings rationalize the phenomenon, to wit, stable realizations...

We find an asset pricing model which consists of the market portfolio, the market skewness or co-skewness factors, and portfolio idiosyncratic volatility factor best explains portfolio risk-return trade-offs on the Nigerian Stock Exchange (NSE), and is appropriate to studies of the efficiency of...