We find support for a negative relation between conditional expected monthly return and
conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) …

… For example, R it denotes the gross (one plus the rate of) return on asset i in period t, and R
mt … We refer to R mt as the market return. Let I t − 1 denote the common information set of the …

… r mapping portfolio prices into the expected value of the prices: rr(p) E-rr(p). Hence r maps P
linearly into the real line R. … -standard deviation frontier for R is a cone with apex at [0, 1/-r(1)] …

… Note that even though some of the adjusted R 2 appear low in Panel C, the regressions are
… Here B is the N × 1 vector of β's, s m 2 is the sample variance of r mt and D has the sample …

ABSTRACT Knowledge of the one‐month interest rate is useful in forecasting the sign as
well as the variance of the excess return on stocks. The services of a portfolio manager who …

… Jagannathan's research was supported by a grant from the McKnight foundation to the …
We will assume that the random variables t ~ , R ~ and α ~ are indepenent of each other. Let …

We give a method to embed the q-series in a (p,q)-series and derive the corresponding (p,q)-extensions
of the known q-identities. The (p,q)-hypergeometric series, or twin-basic …

In this article we develop alternative ways to compare asset pricing models when it is understood
that their implied stochastic discount factors do not price all portfolios correctly. Unlike …

We find that on average, an announcement of rising unemployment is good news for stocks
during economic expansions and bad news during economic contractions. Unemployment …

It is noted that the study of a quantum algebra su p, q (2), with two independent deformation
parameters (p, q), leads to a'(p, q)-oscillator'realization for it. The analysis is extended to the (…