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

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 …

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 …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

We assess to which degree an international transfer mechanism can enhance consumption risk sharing as well as … analyze the changing dynamics that a EUBS brings about. We find that a EUBS can provide risk sharing by stabilizing relative …-spending shocks. Yet, since this trade-off between allocative efficiency and consumption risk sharing does not exist after certain …

We apply generalized beta and triangular distributions to histograms from the Survey of Professional Forecasters (SPF …

different aversions to risk and intertemporal fluctuations, convex damages, uncertainties in economic growth, atmospheric carbon …We use perturbation methods to derive a rule for the optimal risk-adjusted social cost of carbon (SCC) that …-run climate feedbacks. Our non-certainty-equivalent rule for the SCC incorporates precaution, risk insurance, and climate …