This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

abatement. However, their effect on the carbon beta and risk premium of abatement can be decreasing (when innovation spillovers … the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon … beta). We study carbon pricing and financial incentives in a consumption-based asset pricing model distorted by technology …

functional form of the conditional beta will inherit a nonstationary right hand side. Our approach uses the cointegrating …

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors … the stochastic discount factor (mt) used to price securities within inter-temporal asset pricing models. We show that risk … errors in the statistical factor model with mt: Secondly we compare estimates of factor risk premia using portfolios with the …

measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … accuracy. In addition to matching moments of the risk premium, the model is also successful in generating the growth asymmetry …A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different …

We examine subjective risk premia implied by return expectations of individual investors and professionals for … excess returns suggest that objective risk premia vary countercyclically with business cycle variables and aggregate asset … valuation measures, subjective risk premia extracted from survey data do not comove much with these variables. This lack of …

strength matter for consistent estimation of risk premia and subsequent inference, thus an estimate of factor strength is …-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While … required before attempting to estimate risk. Finally, using a recently developed procedure we provide rolling estimates of …