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 …

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 …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns … constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities …. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …

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 … 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 …

warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases … projected temperature path, the observed consumption growth dynamics, discount rates provided by the risk-free rate and equity …

formation, which generates time-varying risk-aversion and consequently time-variation in risk-premia, is the key channel. These … array of diagnostics suggests that the long run risk model is preferred …