This paper describes a production-based asset pricing model. It is analogous to the standard consumption-based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production-based model is ...

In this article the structure of subjective well-being (SWB), the relationship between household income and SWB and mean differences in components of SWB in China and the USA are investigated. Both China and the USA were characterized in a three-factor model of SWB (life satisfaction, positive affect and negative affect). Household income was more strongly positively correlated with the three m...

In this paper we develop a continuous-time general equilibrium model in a representative exchange economy with incomplete information. We show, in a multiple assets setting, that state uncertainty risk is priced and commands additional (state-dependent) premium. It is affected by both the investor’s estimate of the state of the economy, as well as the uncertainty about her estimation. Moreover,...

Fama and French (1992) show conclusively that the relationship between cross-sectional stock return and beta is flat. Following Fama and French’s cross-sectional framework but allowing for up and down market conditions, Pettengill et al.’s (1995) constant-beta model and Howton and Peterson’s (1998) dual-beta model both find that beta is significantly positive (negative) in the up (down) markets...

Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on French Stock Market. We use returns on the Fama and French six portfolios sorted by size and book to mark...

1 Trabalho de projecto apresentado como requisito parcial para a obtenção do grau de without whose help the data collection would have been impossible. I would especially like to thank all my friends, Catarina Rodrigues, my brother, my sister, my father and my mother for their support and inspiration. Abstract Keywords: market efficiency, random walk, fair game, liquidity P. Samuelson and later...

Hou and Moskowitz (2005) document that common stocks with more price delay in reflecting information yield higher returns and that the delay premium cannot be explained by the CAPM, Fama-French three-factor model, or Carhart’s four-factor model. It cannot be explained by conventional liquidity measures either. They contend that the premium is attributable to inadequate risk sharing arising from...