warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases … US equity portfolios have negative exposure (beta) to long-run temperature fluctuations. The elasticity of equity prices … projected temperature path, the observed consumption growth dynamics, discount rates provided by the risk-free rate and equity …

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross … calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk …

that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on …

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas … risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency … constraints. The adjustment to the Breeden-Lucas stochastic discount factor induces substantial time variation in equity risk …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … the other hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine a …

Following the textbook C-CAPM, the consumption risk of an asset is typically measured as the contemporaneous covariance … central insight of the C-CAPM - that consumption risk determines returns - but take the model less literally by allowing the … of the marginal utility of consumption and the return on that asset. When measured this way, consumption risk is too …