We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … linking the CIV factor to income risk faced by households. These three facts are consistent with an incomplete markets …

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 …

news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an … negative when volatility risk is ignored. Our model setup implies a dynamics capital asset pricing model (DCAPM) which …

and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input … portfolio earns a risk premium exceeding 4 percent annually. In the time series, an investment strategy that is long on the … durable-good portfolio and short on the market portfolio earns a countercyclical risk premium. We explain these findings in a …

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 …

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …

unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We … short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility …

strategy portfolio. The other half is due to a hidden risk factor, likely related to funding liquidity identified in Asness et …