This paper adopts the methodology used by Fama and French (1993) to construct two measures of liquidity risk. These liquidity proxies solve the empirical issue of comparability between risk factors by utilizing the standardized unit of risk first proposed for size and value effects. As far as I know, this has not been done before. Modeling these additional liquidity premiums indicate an improve...

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 ...

Strong brands bring numerous benefits for both the companies and their customers such as decreasing purchasing risk and searching cost and increasing the likelihood of repurchasing. It is not presented an applied model for determining the price of this asset in Iran, especially in terms of merger and acquisition. The purpose of this study is to develop a model for pricing brand value in Iran’s ...

Because of external financing costs, private business owners often need to self-finance new investment projects. These self-financing needs create an incentive for business owners to hold financial assets whose payoffs are positively correlated with self-financing needs. If this effect is aggregated, expected returns on financial assets should be negatively correlated with aggregate private inv...

The Theory of Capital Asset Pricing Model (CAPM) states that market risk (beta) can generate premium for investors. So investors only need to invest in a portfolio or based on capitalization weighting. Smart Beta is an index-based investment strategy seeks obtain superior risk-adjusted returns through transparent techniques and rules-based criteria specific factors attributes returns. Combining...

Article history: Received 18 November 2010 Accepted 12 September 2011 Available online 17 September 2011 This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various te...