We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensi
Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of
The package contains the codes and the data analysis files necessary to reproduce the figures and tables in Andrei, Cujean, and Wilson (forthcoming), "The Lost Capital Asset Pricing Model," Review of
Campbell and Cochrane (1999) formulate a model that successfully explains a wide variety of asset pricing puzzles, by augmenting the standard power utility function with a time-varying subsistence lev
