A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

We investigate financial experts’ beliefs about climate risk pricing and analyze how those beliefs influence stock … return expectations. In a comprehensive survey, we elicit experts’ beliefs using both structured and open-ended questions. We …. Differences in experts’ mental models explain variation in return expectations in the short-term (1-year) and long-term (10-year …