We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the …

We examine the joint predictability of return and cash flow within a present value framework,
by imposing the implications from a long-run risk model that allow for both time-varying …

We develop a conditional version of the consumption capital asset pricing model (CCAPM)
using the conditioning variable from the cointegrating relation among macroeconomic …

The information content of US stock market factors | Emerald Insight Books and journals Case
studies Expert Briefings Open Access Publish with us Advanced search The information content …

This paper studies the determinants of the variance risk premium and discusses the hedging
possibilities offered by variance swaps. We start by showing that the variance risk premium …

This article shows how to extract future real activity information from optimally combined size-
sorted portfolios. In particular, we analyze the capacity of the size-based model-free Hansen …

Market participants must rely upon probability assessments of the current state of the
economy, that is, their rational ex-ante estimates of recession fears, when making financial …

ASSET PRICING IN MALAYSIA: Page 1 ASSET PRICING IN MALAYSIA: A COMPARATIVE
STUDY OF CONSUMPTION-BASED CAPM AND FAMA-FRENCH FACTOR MODELS …

One of the most important issues in the financial economics that has long been of interest to
financial economists is questions about cross-sectional variation and time variation in the …

Private consumption volatility is harmful for macroeconomic stability. The role of remittances
in stabilizing private consumption in developing countries has been received much attention …