appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … the other hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine a … this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the …

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory … power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the …

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …, abnormal investment, asset growth, investment-to-assets, accruals, earnings surprises, failure probability, return on assets …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor …

explanation for these findings: the shorting premium is compensation for the concentrated short risk borne by the small fraction … for this short risk using the CME portfolio return and demonstrate that a Fama-French + CME factor model largely captures …

projected temperature path, the observed consumption growth dynamics, discount rates provided by the risk-free rate and equity … warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases … US equity portfolios have negative exposure (beta) to long-run temperature fluctuations. The elasticity of equity prices …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

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 …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the … reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with …