A Note on the CAPM With Endogenously Consistent Market Returns

Diversified returns, aggregate wealth and varying market risk premium: testing the CAPM with data for Mexico

a study on insurer solvency by panel data model: the case of iranian insurance market

the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.

Market Demand Functions in the Capm

We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand on nite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n di erent beta pricing formulas. It is shown that the lower bound on the number of equilibria, n, is robust to pertubations of endowments.

A Note on “predicting Returns with Financial Ratios”

This note reinterprets methods that seek to use the aggregate dividend price ratio to predict aggregate stock market returns; specifically, methods which use information about time-varying changes in the dividend-price ratio process to improve the prediction equation. It argues that the empirical evidence is still too weak to suggest practical usefulness of these estimators. ∗We thank John Coch...

The International CAPM When Expected Returns Are Time-Varying

This paper derives a dynamic version of the international CAPM. The exchange-rate risk factors and intertemporal hedging factors are derived endogenously in a model that builds upon Campbell (1993). We provide a theoretical foundation for empirical risk factors often used in international asset pricing, including dividend yields, forward premia and, especially, exchange-rate indices. The model ...