We examine the relation between US stock market returns and the US business cycle for the period 1960 2003. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We find that the relation is asymmetric with downturns in the business cycle having a greater negative impact o...

the aim of this research is the investigation the relationship between the capital structure and institutional ownership mid to the other effective factors on this relation in tehran stock exchange. the others factors include the percentage of stock dividend, profitability, business risk, assets structure, liquidity, growth, and company size. the statistical population of the research is 117 li...

The purpose of this study is to test the validity CAPM in Amman Stock Exchange (ASE) during period (2010 – 2014), which was divided into three sub periods. We used monthly returns 60 stocks Jordanian companies listed ASE. Black, Jensen and Scholes (1972) Fama MacBeth (1973) methods were different sub-periods. analysis results showed that higher risk (beta) not associated with levels return, vio...

Traditional capital budgeting models cannot appropriately capture the value of IT-systems. Real Option Pricing Theory provides a useful economic perspective on the valuation of IT-systems, although no comprehensive review of the state of the art of real option pricing models for IT-investments has been published to date. This paper provides an overview of the applicability of real option theory...

A consistent empirical feature of bond yields is that term premia are, on average, positive. The majority of theoretical explanations for this observation have viewed the term premia through the lens of the consumption based capital asset pricing model. In contrast, we harken to an older empirical literature that attributes the term premium to the idea that short maturity bonds are inherently m...

We propose a consumption-based capital asset pricing model in which the representative agent’s preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functio...

I quantitatively study the optimal capital income taxation in the general equilibrium overlapping generations model with uninsurable idiosyncratic income shocks and with housing and flnancial assets. Following key characteristics of housing are explicitly modeled: (i) housing is held for the dual purpose of consumption and savings, (ii) housing can be either owned or rented, (iii) if owned, hou...

We extend and unify existing international asset pricing models for perfect capital markets by allowing both exchange rates and inflation rates to be stochastic and investors to consume both tradable and nontradable goods. We argue that in the presence of stochastic inflation and exchange rates, the Adler-Dumas’ [1983] inflation-rate differential risks can be related neither to PPP deviation ri...

The present paper investigates the portfolio allocation decisions of an investor with infinite horizon when available financial assets differ in their degrees of liquidity. A model with risk neutral agents allows us to endogenously determine the liquidity premium. With risk averse agents, we develop a nontrivial portfolio allocation problem, which enables us to calculate the demand for an illiq...