Choice under Uncertainty -- Modern Portfolio Theory -- The Capital Asset Pricing Model -- Empirical Analysis of the CAPM -- The Consumption CAPM -- Arbitrage Pricing Theory and Multi-factor Models -- Empirical Cross-Sectional Asset Pricing -- The Black-Litterman Model -- Event-Study Analysis.

In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin...

This paper studies the dynamics of emerging excess returns in a industry-by-industry context. Differently from the recent financial literature, which mainly focuses on 'total market indexes', we perform a standard ex-post empirical analysis aimed at capturing the industries' contribution to...

This paper studies the behavior of emerging stock excess returns in an industry-by-industry context. We examine stock market performance for 23 countries and ten industries over 17 years from 1995 to 2012 – a period that includes major changes in capital market regulations, the removal of...