The classical assumptions of the Capital Asset Pricing Model do not ensure obtaining a tangency (market) portfolio in which all the risky assets appear with positive proportions. This paper gives an additional set of assumptions that ensure obtaining such a portfolio. Our new set of assumptions...

The classical assumptions of the Capital Asset Pricing Model do not ensure obtaining a tangency (market) portfolio in which all the risky assets appear with positive proportions. This paper gives an additional set of assumptions that ensure obtaining such a portfolio. Our new set of assumptions...

A bond's expected return (EBR) is the ex-ante internal rate of return of the bond's expected future cash flows, whereas a bond's yield to maturity (YTM) is the internal rate of return of its promised future cash flows. In this paper we estimate the EBR for a sample of bonds using rating...

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its risk premium components, including a certainty...