We propose an equilibrium construction process of asset prices that generates returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely separately on firm characteristics and on the log-price of assets. Market...

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is...

This study investigates the relationship between the level of the excess returns subsequent to sell-offs and changes in the capital allocated through internal capital markets. We measure excess returns by calculating buy-and-hold abnormal (BHAR) returns up to three years after divestitures and...