CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de...

explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

An extensive literature documents heterogeneity in the delay of stock-price reaction to systematic shocks, implying that relevant asset risk depends on investment horizon. We study pricing of common risk factors across investment horizons. We …nd that liquidity risk is priced over short horizons and market risk is priced over intermediate horizons. Value/growth risk is priced over long horizons...