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 …

machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good … hedges for war risk receiving lower risk premia, or with assets that are more positively sensitive to war prospects being …

, measured by the Palmer Drought Severity Index (PDSI) from climate studies, forecasts both declines in profitability ratios and …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

location to test how news of unusual exogenous shocks affects crash belief formation. The results are consistent the risk …

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …