• Asset prices with jump/diffusion permanent income shocks.

      Freeman, Mark C. (2009-07-20)
      By assuming that all uninsurable risk is permanent, a closed form multi-period, multiple agent and multiple asset incomplete market asset pricing model is presented that allows for jump as well as diffusion risk to personal income.
    • Basic risk aversion.

      Freeman, Mark C. (2001)
      It is demonstrated that small marketable gambles that are unattractive to a Standard Risk Averse investor cannot be made attractive even if certain independent background risks that decrease expected marginal utility are added.
    • Can market incompleteness resolve asset pricing puzzles?

      Freeman, Mark C. (2009-06-08)
      This paper shows that the presence of persistent uninsurable risk concentrated in economic depressions has the potential to resolve two well¿known asset pricing puzzles. It is also shown that the presence of such risk in more normal economic expansions and recessions is likely to be much less relevant in determining equilibrium asset prices.
    • The conditional relationship between beta and returns: a re-assessment.

      Freeman, Mark C.; Guermat, C. (2006)
      Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted technique has similar, or lower, power to the more easily implemented CAPM test of Fama and MacBeth (1973) if returns are normally distributed.
    • Information efficiency changes following FTSE 100 index revisions

      Daya, Wael; Mazouz, Khelifa; Freeman, Mark C. (2012)
      This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. Our study spans the 1986–2009 period. We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. The asymmetric effect of additions and deletions on informational efficiency can be attributed, at least partly, to certain aspects of liquidity and other fundamental characteristics, which improve following additions but do not diminish after deletions. Cross-sectional analysis also indicates that stocks with low pre-addition market quality benefit more from joining the index.