managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash … firm's earnings, stock returns, and managerial ownership, because governance impacts the firm's risk-return structure. In …

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …

We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from … 1994 and 2009, we find substantial evidence that hedge fund risk exposures vary significantly across months. Our new method … also reveals that hedge fund risk exposures vary within months, and capturing this variation significantly improves the fit …

around the world. For most markets, we find a post-inclusion increase in beta and an increase in the explanatory power of …

more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha … becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we …

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks co-vary more with this … time-varying price of risk than value stocks, which co-vary more with shocks to cash flows. When the model is calibrated to …