with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM …

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option …

We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures … managing climate risk …

that they would be exposed to risk from fluctuations in their electricity cost. The concern seems to be that a customer … larger than it had budgeted for. I analyze the magnitude of this risk, using demand data from 1142 large industrial customers …, and then ask how much of this risk can be eliminated through various straightforward financial instruments. I find that …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of …-related economic uncertainty. Our US index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure … find that policy uncertainty raises stock price volatility and reduces investment and employment in policy …

technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …

longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment, i … shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm … characteristics related to the ability of firms to adjust to higher uncertainty help explain the strength of the relation. Consistent …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …Various types of uncertainty shocks can explain many phenomena in macroeconomics and finance. But does this just amount … three conceptually distinct fluctuations, all called uncertainty shocks, have a common origin. Specifically, we propose a …