We show that time variation in risk premia leads to time-varying idiosyncratic income risk for workers. Using US … administrative data on worker earnings, we show that increases in risk premia lead to lower earnings for low-wage workers; these … endogenous time-varying income risk in response to changes in risk premia and matches several stylized features of the data …

components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for …

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

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

with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because …

risk-sharing. General equilibrium models and consumption data tend to find that the costs are small, typically less than … higher variability of stocks, and/or (b) the higher degree of risk aversion required to reconcile an international equity …

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

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 …