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

value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) 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 … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …

associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated … with the characteristic, but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance …

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

itself; (b) the level of the firm's expected dividend growth; and (c) the firm's fundamental risk, that is, the one … pertaining to the covariation of the firm's cash-flows with the aggregate economy. Especially when fundamental risk (c) is strong …