between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The … long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the … 1990s. When we restrict the risk premiums to identify structural parameters, this results in larger average pricing errors …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain … the form of labor contracts). We derive wages endogenously as part of a dynamic equilibrium in a production economy. Risk … facilitate this risk sharing because it is there that firms offload the labor market risk they assumed from workers. In effect …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets …' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus …