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

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 …

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 …

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 …

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

To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient … markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference … techniques for the entire cross-sectional beta distribution at fixed points in time. We demonstrate, for constituents of the S …

. Also borrowing constraints over the investors' life cycle that shift the stock market risk to the saving middle …

labor income risk, calibrating a (wrong) representative agent model results in overstating the equilibrium riskfree rate and … in understanding the equilibrium equity premium if the utility function exhibits decreasing absolute risk aversion and … advanced conjecture that non-traded risk contributes to the solution of the riskfree rate and equity premium puzzles …