The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference...

The phrase 'equity premium puzzle' refers to the apparent inability of the standard asset-pricing paradigm to explain the average size of the equity premium in US data. In order to describe this failure it is useful to outline the essential features of the basic intertemporal equilibrium model...

This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity...