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

as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …

information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for … rational inattention that demand for information depends on its expected benefit. Moreover, the fact that perceived risk …

We study how background health risk affects financial risk-taking. We elicit financial risk-taking behavior of a … infections across time and space, we find that an increase in infections affecting background health risk translates into higher … financial risk-taking, and for the alleviating effect of self-insurance devices …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

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

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market … risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be …