We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces …

stocks earn returns that are significantly lower than stocks of non-financial firms of the same size and with the same risk …

businesses to new projects and thus generates a source of systematic risk for portfolios of firms sorted on value, profitability …

We examine subjective risk premia implied by return expectations of individual investors and professionals for … excess returns suggest that objective risk premia vary countercyclically with business cycle variables and aggregate asset … valuation measures, subjective risk premia extracted from survey data do not comove much with these variables. This lack of …