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 …

movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in … investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market …

pricing individual stocks and test portfolios, while delivering transparent trading strategies and risk-adjusted investment …

demanding a premium for hedging risk. This paper examines the consistency of those explanations with returns on dynamically … options to also have negative excess returns. Empirically, synthetic options have CAPM alphas near zero over the period 1926 … on synthetic options -- with the variance risk premium shrinking towards zero -- while various drivers of the cost and …

hedges for war risk receiving lower risk premia, or with assets that are more positively sensitive to war prospects being …