Are fluctuations in firms' profitability risk a major cause of regular business cycles? We study this question within … such a model, surprise increases of risk lead to a wait-and-see policy for investment at the firm level and a decrease in … the size of firm-level risk fluctuations. We find that time-varying firm-level risk on its own is unlikely to be a major …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

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

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …