a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an …

usual relationship between risk and consumption. In particular, we present a model where the presence of plausible … adjustment costs can cause a mean-preserving increase in unemployment risk to lead to increased consumption. The predictions of … risk as their unemployment shocks are more highly correlated. Such couples spend more on owner-occupied housing than other …

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross … calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk …

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a quot;volatility,quot; quot;risk premium,quot; and quot;realquot; factor, contain important …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual …The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro … earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure …