We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U ….K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the … behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …

studies on cross-sectional risk pricing …

approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and …

While the empirical literature has often documented a “default anomaly”, i.e. a negative relation between default risk … and stock returns, standard theory suggests that default risk should be priced in the cross-section. In this paper, we … components; we measure the systematic part as the sensitivity of the physical PD to an aggregate measure of default risk. While …

This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and … exchanges, and to the study of risk prices in the cross section of returns. …