The present study examines the dynamics of saving, human wealth, and asset pricing nexus across developed and emerging economies. We introduce two equilibrium asset pricing models in an intertemporal capital asset pricing framework, including the priced factors, human wealth, and market...

The study examines the troika of financial liberalisation–volatility–information asymmetry to explore the linkage between financial liberalisation and return volatility across the globe. The financial liberalisation phenomenon was studied across three phases: liberalisation,...

The informational efficiency is the central backdrop among researchers in the quest of behavioural finance since Fama (J Financ 25:383–417, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the...

We argue that the risk of an asset is measured by the covariance of an asset's return with the return on the aggregate market and human capital. The intertemporal and consumption-based CAPM, along with an extended version of CAPM framework examines the excess return on Fama and French portfolios...

We study the international stock returns across Europe, Asia Pacific, North America, US, Japan, Global, and Global excluding US. We find there are value premiums in average stock returns across the regions. There is momentum return in all the regions except for Japan. With the exception of...