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 propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …

value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth -- as done in the previous literature on the C-CAPM and the pattern of …

limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro …

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