710 Citations
Asset Prices and Capital Share Risks: Theory and Evidence
- EconomicsSSRN Electronic Journal
- 2020
Pricing of capital share risks provides a novel link between macroeconomics and finance. Our paper adopts the Epstein-Zin type utility framework and the Bansal and Yaron’s (2004) long-run risk model…
A Unified Model of Distress Risk Puzzles
- Economics
- 2019
We build a dynamic model to link two empirical patterns:\ the negative failure probability-return relation (Campbell, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return…
Asset Pricing: Lessons from the Battle of Nobels
- Economics
- 2018
Asset-pricing theories involve expectations whereas asset-pricing tests are almost universally performed on noisy realizations. This paper addresses this fundamental yet difficult problem to find…
Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand
- Economics
- 2015
Applications of beta are crucial in determining equity pricing and portfolio strategy. The conditional Capital Asset Pricing Model (CAPM) theory suggests thatsystematic risk factor (henceforth…
The Conditional CAPM Explains the Value Premium
- Economics, Business
- 2014
This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The…
Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange
- Economics
- 2011
Using a sample of common stocks traded on the Istanbul Stock Exchange from February 1997 to April 2008, we test whether the conditional capital asset pricing model (CAPM) accurately prices assets. In…
Essays in asset pricing: on testing asset-pricing anomalies and modeling stock returns using model pools
- Economics, Business
- 2011
In this dissertation, I consider a range of topics in cross-sectional asset pricing. The primary research focus is twofold. First, I provide new insights on analyzing and testing capital market…
Macroeconomic Risk and the Cross-Section of Stock Returns
- Economics
- 2009
We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield,…