explaining heterogeneity in firm exposures to systematic risk. These differences in systematic risk are partially explained by …-career experiences of starting their first job in a recession also contribute to differential loadings on systematic risk. These effects …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …

data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the … main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the … coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model …

return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …

pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this …

itself. It then examines whether aggregate market risk or aggregate fundamental risk is priced. Although market risk is … priced, the paper does find that fundamental risk is an important factor in explaining risk premia …

time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives an …