We apply the Consumption-based Asset Pricing Model (CCAPM) of the finance literature to study the risk and return of household business assets in developing economies. Using monthly panel data from a household survey in rural Thailand, we find that higher exposure to aggregate, non-diversifiable risk, as measured by household beta or the co-movement of the return of the individual household ent...

Bounds for the expected return probability of the delayed random walk on finite clusters of an invariant percolation on transitive unimodular graphs are derived. They are particularly suited for the case of critical Bernoulli percolation and the associated heavy-tailed cluster size distributions. The upper bound relies on the fact that cartesian products of finite graphs with cycles of a certai...

I study a class of models commonly used to motivate monetary exchange, extended to include a physical asset whose expected short-run return is subject to exogenous news events, but whose expected long-run return is independent of this information. I show that there are circumstances in which the nondisclosure of news by an asset manager is welfareimproving. When nondisclosure is infeasible, the...

This study extends the call option pricing model developed by O’Brien (1986), which has as one of the parameters the expected return on the underlying asset, to index options. Market prices of call options on the Standard and Poor's 100 stock index are used to implicitly derive the expected rate of return on the index. Two previously documented seasonal mean shifts, at the weekend and the turn-...

The linear plus exponential utility function has received increasing attention of late as a particularly attractive family for evaluating additive gambles for wealth. In addition to its ability to reflect increasing appreciation for money, risk aversion, and decreasing risk aversion, it is consistent with a risk-return representation in which return is measured by expected value. In this paper ...

This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "l...

When measured over decades in countries that have been relatively stable, returns from stocks have been substantially better than returns from bonds. This is often attributed to investors’ risk aversion: stocks are thought to be riskier than bonds, and so investors will pay less for an expected return from stocks than for the same expected return from bonds. The game-theoretic probability-free ...

We show that Black Capital Asset Pricing Model (Black CAPM) is extremely sensitive to the choice of the market portfolio and becomes unstable as market portfolios approach the Global Minimum-Variance portfolio. When market portfolios approach the minimum-variance portfolio, the expected return on the zero beta asset approaches negative infinity and its variance increases rapidly. Moreover, expe...

This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between t...

Although previous research has reported that the momentum strategy is effective in the US equity market, the contrarian strategy is effective in the Japanese equity market. The current research illuminates the relationship between the return found with the contrarian strategy (contrarian return) and credit rating in the Japanese equity market. We empirically verify the relationship between thes...