When consumption betas of stocks are computed using year‐over‐year consumption
growth based upon the fourth quarter, the consumption‐based asset pricing model (CCAPM) …

Most empirical studies of the static CAPM assume that betas remain constant over time and
that the return on the value‐weighted portfolio of all stocks is a proxy for the return on …

We show how to use security market data to restrict the admissible region for means and
standard deviations of intertemporal marginal rates of substitution (IMRSs) of consumers. Our …

Financial planners typically advise people to shift investments away from stocks and toward
bonds as they age. The planners commonly justify this advice in three ways. They argue that …

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 document a seasonal pattern in stock returns around quarterly earnings announcement
dates: small firms show large positive abnormal returns and a sizable increase in the …

This paper shows that bank runs can be modeled as an equilibrium phenomenon. We
demonstrate that some aspects of the intuitive “story” that bank runs start with fears of insolvency …

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) …

Green and Hollifield (1992) argue that the presence of a dominant factor would result in extreme
negative weights in mean‐variance efficient portfolios even in the absence of estimation …

… Ravi Jagannathan wishes to acknowledge financial support from the Banking Research …
Ravi Jagannathan wishes to acknowledge financial support from the Banking Research Center …