This paper studies the flows of funds into and out of equity mutual funds. Consumers base their fund purchase decisions on prior performance information, but do so asymmetrically, investing disproportionately more in funds that performed very well the prior period. Search costs seem

like Treasury bonds, and (2) low-grade bonds are more sensitive to stock returns. The implications of these studies may be limited in many situations of interest, however. For example, hedge funds often take highly levered positions in corporate bonds while hedging away interest rate risk by shorting

that such conditional models perform far better than unconditional specifications and about as well as the Fama-French three-factor model on portfolios sorted by size and book-to-market characteristics. The conditional consumption CAPM can account for the difference in returns between low-book-to-market and high

We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in the S&P 500 market index. The probability of rare events vary significantly over time, increasing in periods of high market volatility, but the risk premium for tail events

Debreu asset pricing model. They rejected it because it could not explain high enough equity risk premia. They concluded that only non-Arrow-Debreu models would solve this 'puzzle'. Here, I re-specify their model, capturing the effects of possible, though unlikely, market crashes. While

of the national equity markets depend on local information variables, while global risk premia depend on global variables. We examine singleand multiple-beta models, using monthly data for 1970 to 1989. The models capture much of thepredictability for many countries. Most of this is related to time variation

This is the first study that computes default measures for individual firms using Merton’s (1974) option pricing model, to assess the effect that default risk has on equity returns. We find that equally-weighted portfolios of stocks with high default probability earn significantly higher returns

risk premia are nonlinear functions of beta. The novel insight, counter to intuition, is that risk premia for stocks exposed to any type of negative Lévy jumps are a concave function of their beta.

This paper analyzes the empirical relations between equity premia and state-dependent consumption and market risks. These relations are derived from a flexible specification of the CCAPM with mixture distribution, which admits the existence of two regimes. Focusing on the market return, we find

Die Dissertation wurde am 04.05.2009