* The authors are, respectively, Associate Professor of Finance, Faculty of Commerce and
Business Administration, University of British Columbia, and Associate Professor of Finance, …

DURING THE TWO DECADES FOLLOWING Markowitz's landmark article [30], most contributions
to portfolio analysis have been based on the two parameter (meanvariance) model of …

This paper derives an after tax version of the Capital Asset Pricing Model. The model accounts
for a progressive tax scheme and for wealth and income related constraints on borrowing. …

New evidence is provided on the determinants of stock-return variances. First, when the Tokyo
Stock Exchange is open on Saturday, the weekend variance increases; weekly variance …

This paper implements the time-state preference model in a multi-period economy, deriving
the prices of primitive securities from the prices of call options on aggregate consumption. …

The empirical implications of the consumption‐oriented capital asset pricing model (CCAPM)
are examined, and its performance is compared with a model based on the market portfolio…

We test the cash flow signalling and free cash flow/overinvestment explanations of the
impact of dividend announcements on stock prices. We use Tobin's Q ratios less than unity to …

THERE HAS BEEN considerable controversy concerning the effect of dividend yields on
common stock returns. The controversy centers on whether or not the positive association …

International capital market equilibrium is characterized for a world economy in which
consumption preferences are defined multiplicatively over many commodities. It is shown that the …

This paper examines the intraday market response to announcements of new equity issues.
For fifteen minutes following the announcement, there is abnormally high volume and a -1.3…