This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

This paper reviews the literature on the relation between short-and long-term interest rates. It
summarizes the mixed evidence on the expectation hypothesis of the term structure: when …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

Even the best Wall Street investors make mistakes. No matter how savvy or experienced, all
financial practitioners eventually let bias, overconfidence, and emotion cloud their …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We provide the definition and a complete characterization of regular affine processes. This
type of process unifies the concepts of continuous-state branching processes with …

This paper characterizes all continuous price processes that are consistent with current
option prices. This extends Derman and Kani (1994), Dupire (1994, 1997), and Rubinstein …

This paper develops a capital asset pricing theory in a market where noise traders interact
with information traders. Noise traders are traders who commit cognitive errors while …

Behavioral finance is the study of how psychology affects financial decision making and
financial markets. It is increasingly becoming the common way of understanding investor …