*This paper arises from the author's doctorate, which was completed at the Australian Graduate School of Management at the University of NSW. The author benefited from some valuable comments, suggestions and encouragement from Chris Adam, Nicholas Bollen, Doug Foster, Lorenzo Garlappi, Shayne Gary, Bruce Grundy, Ron Guido, Richard Heaney, Terry O'Neill, Baljit Sidhu, Tom Rietz, Tom Smith, Garry Twite, and Kathy Walsh. The author also wishes to thank participants at the 2005 AFAANZ Conference and the 16th Asian Financial Association Conference, as well as FIRN for financial support to attend the latter.
Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset*
Version of Record online: 27 NOV 2008
© 2008 The Authors. Journal compilation © International Review of Finance Ltd. 2008
International Review of Finance
Volume 8, Issue 3-4, pages 125–157, September/December 2008
How to Cite
WARREN, G. J. (2008), Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset. International Review of Finance, 8: 125–157. doi: 10.1111/j.1468-2443.2008.00079.x
- Issue online: 27 NOV 2008
- Version of Record online: 27 NOV 2008
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