unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

and 2) The premium for holding equity, over a safe government bond, is large. The equity premium has two parts; a risk … savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the …

shows that regimes of low interest rates and high asset valuations are characterized by lower equity market risk premia and …

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange … increase in total volatility led to a significant increase in market risk (beta) for the multinational firms relative to the …

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 …

-systematic risk on the firm's choice of an optimal input mix. Consistent with earlier work in economics, this analysis demonstrates …