We conduct an empirical investigation of an emerging strand of models, pioneered by Berk, Green and Naik (1999), relating firms' real investment behavior under investment irreversibility and asset return dynamics. The models in this literature share many of the same predictions. We first extend...

We test a conditional asset pricing model that includes long-term interest rate risk as a priced factor for four asset classes—large stocks, small stocks, and long-term Treasury and corporate bonds. We find that the interest risk premium is the main component of the risk premiums for bond...

We jointly estimate and test a conditional asset pricing model which includes long term interest rate risk as a potentially priced factor for four broad classes of assets - large stocks, small stocks, long term Treasury bonds and corporate bonds. We find that the premium for long bond risk is...

We investigate how the elimination of the intra-european risk may affect international financial marks. To this end, we identify and measure the EMU and non-EMU components of aggregate currency risk using a conditional version of the International CAPM. We document significant exposures to and...

We investigate the impact of currency risk and the adoption of the euro on the international portfolio choices. We use a parsimonious GARCH parameterization to estimate a conditional version of the International Capital Asset Pricing Model and generate out of sample forecasts of assets returns...

Given a set of assets, a numeraire portfolio (Long, 1990) is a self-financing portfolio with positive value and whose return process is a stochastic discount factors process. By relaxing the self-financing constraint, we define the generalized numeraire portfolios, and state necessary and...