Publisher Summary This chapter reviews the main asset-pricing theories in finance and
discusses combining the models by using a simple, unifying framework. The models are …

To analyze the intertemporal interaction between the stock and bond market returns, we
assume that the conditional covariance matrix follows a multivariate GARCH process. We …

We investigate whether intertemporal variation in stock and bond risk premia can be
explained by time-varying covariances with priced risk factors. We estimate and test a …

This paper investigates the role of interest rate risk in explaining security price changes. We
develop and test a two-factor linear beta pricing model of security returns in which the factors …

We propose a mean-reverting stochastic process for the market beta. In a simulation study,
the proposed model generates significantly more precise beta estimates than GARCH betas …

This study examines the link between returns and volatility of Bitcoin, at both
contemporaneous and intertemporal levels, employing high-frequency data. The intraday …

This paper examines the impact of exchange rate fluctuations and interest rate risk on equity
valuation in Germany, Japan, the United Kingdom, and the United States. Our estimations …

This paper examines the role of market, interest rate, and exchange rate risks in pricing a
sample of the US Commercial Bank stocks by developing and estimating a multi-factor …

This paper examines the risk–return relations in the Singapore stock market for the period
April 1986 to December 1998. Though beta is significantly related to realized returns, the …

This paper evaluates whether directors of target companies make response
recommendations in takeovers which are consistent with the interests of shareholders, by …