loading on the expected real GDP growth rate is a priced risk measure. A fully tradable, ex-ante portfolio formed on this …

We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk … factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting …

We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its …

of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing …

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

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 …

components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange … increase in total volatility led to a significant increase in market risk (beta) for the multinational firms relative to the …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …