Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. Th...

Though traditionally, stock markets have been the best haven for investors, in recent years the concept of risk has been brought home to investors. With the stock markets crashing from over 11,000 to under 8,000 and then crossing 10,000 in less than three years, many investors are considering non-stock investments as an alternative to traditional equity markets that have been highly volatile in...

This article proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and allows variance targeting. These features contribute to realistic equity premium forecasts for the U.S...

The total set of industries from Value Line is used to demonstrate that business risk and return are negatively correlated across companies within industries. Some empirical questions about industries themselves are also raised. The concepts of income smoothing and corporate strategy are utilized to explain this apparent paradox. Further work is both suggested and

This paper analyzes 4,750 mergers from 1963 to 1998 to characterize the risk and return in risk arbitrage. Results indicate that risk arbitrage returns are positively correlated with market returns in severely depreciating markets but uncorrelated with market returns in f lat and appreciating markets. This suggests that returns to risk arbitrage are similar to those obtained from selling uncove...

In this case study, an early-career clinician-investigator discusses impending and future career issues in an interview with an established translational scientist, who then shares ideas about pursuing clinically informed research questions.

SHARPE [12] AND LINTNER [7] have recently proposed models directed at the following questions: (a) What is the appropriate measure of the risk of a capital asset? (b) What is the equilibrium relationship between this measure of the asset's risk and its one-period expected return?^ Lintner contends that the measure of risk derived from his model is different and more general than that proposed b...

Except for specialists, planetary seismology refers first to Earth seismology, and stimulates thoughts about earthquakes, tsunamis, and all such rare and brutal events that everyone knows by experience and/or fears. According to etymology, seismology shakes and shocks our bodies and our minds. According to semantics, all languages make the difference between “superficial” and “deep” things, so ...

• We propose a model for the trends of risk-free rate and return on capital. Only risk explains decreasing stable The increase in risk-premium since 1980 comes from an aversion. Interest rates have been falling mid-1980s while capital has not. In calibrated OLG with recursive preferences encompassing many “usual suspects” cited debate secular stagnation, we find that lower trend growth accounts...