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This study extends the standard consumption-based capital asset pricing model (C-CAPM) to include two additional factors related to firm size (SMB) and book-to-market value ratio (HML). The inclusion of HML improves mainly the fit of the low book-to-market portfolios, SMB, and HML that are not...
We propose a new test based on the no-arbitrage condition that compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors. Using the multivariate generalized heteroskedasticity in mean model (MGM) to estimate...
We consider differences in current job tenure of individuals using linked employee and workplace data. This enables us to distinguish between variation in tenure associated with the characteristics of individual employees and those of the workplace in which they work. As a group, The various...
A growing body of literature suggests that over widely varying historical eras and across a wide range of asset classes momentum investing, often accompanied by a trend following overlay, provides superior risk-adjusted returns. We examine the effectiveness of applying these methodologies to...
We consider differences in individual job tenure between Australia and Britain using linked data on employees and their workplaces. This linkage enables us to distinguish between the impact of demographic, education, job characteristics, occupation and work environment for the individual, as...
We explore the relationship between reported job satisfaction and own wage, relative wage and average comparison group wage; allowing for asymmetry in these responses across genders. We find that the choice of relevant comparison group is affected by gender in Britain; men display behaviour...