The valuation of Canadian paintings is analyzed empirically. Using a sample of auction prices for major Canadian painters for the period 19682001, we run hedonic regressions to analyze the in‡uence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second stage analysis in which we analyze the properties of Ca...

In parametric models a su cient condition for local identi cation is that the vector of moment conditions is di erentiable at the true parameter with full rank derivative matrix. We show that there are corresponding su cient conditions for nonparametric models. A nonparametric rank condition and di erentiability of the moment conditions with respect to a certain norm imply local identi cation. ...

This article investigates international stock market integration in largest (based on nominal GDP and purchasing power parity GDP) four developed namely USA, EMU, Japan and UK and two Asian emerging namely China and India international stock markets over the period June 1994 to June 2009. To model stock market integration we estimate a dynamic version of international capital asset pricing mode...

We study the interplay between corporate liquidity and asset reallocation. Our model shows that financially distressed firms are acquired by liquid firms in their industries even in the absence of operational synergies. We call these transactions ‘‘liquidity mergers,’’ since their purpose is to reallocate liquidity to firms that are otherwise inefficiently terminated. We show that liquidity mer...

longer follow. The capital asset pricing model (CAPM) is an elegant theory. With the aid of some simplifying assumptions, it comes to dramatic conclusions about practical matters, such as how to choose an investment portfolio, how to forecast the expected return of a security or asset class, how to price a new security, or how to price risky assets in a merger or acquisition. The CAPM starts wi...

We present a new multiagent model for the multiperiod portfolio selection problem. Individual agents receive a share of initial wealth, and follow an investment strategy that adjusts their portfolio as they observe movements of the market over time. The agents share their wealth at the end of the nal investment period. We show that a multiagent system can outperform a single agent that invests ...

We provide a unified explanation for several apparent anomalies in the cross-section of asset returns, namely the failure of the CAPM to account for the cross-sectional relation between average stock returns and firm valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility. Using a calibrated structural model, we argue that these characteristics are imperfect p...

One approach that is gaining in popularity among portfolio managers uses ethical ratings, published by specialized research organizations, to screen securities for portfolio selection. Portfolio managers can thus gain a better understanding of the phenomenon and adopt a better and more consistent approach to ethical investment. By the same token, board of directors can measure the impact of the...

Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on French Stock Market. We use returns on the Fama and French six portfolios sorted by size and book to mark...

This paper investigates the performance of efficient portfolios in a financial market with heterogeneous investors including rational traders, noise traders, and chartists. A generalization of the security market line result states that, regardless of the diversity of beliefs, the portfolios of rational investors with mean-variance preferences are mean-variance efficient in the sense of classic...