changes in the risk and term structures of interest rates. The impacts of these variables on equity REIT returns is around 60 … risky than stocks generally, but does not offer a superior risk-adjusted return and is not a hedge against unexpected …

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 …

This paper calculates the effect that introducing risk-sharing during either retirement or the working life would have … context of models of lifecycle portfolio choice, which suggest that employees should generally prefer to take risk earlier in …

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 …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

This paper provides a theory-based empirical framework for understanding the risk and return on productive capital … assets and their allocation across activities in an economy characterized by idiosyncratic and aggregate risk and thin formal … extensive networks, taking advantage of panel data: income, assets, consumption, gifts, and loans. We decompose risk and …

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 …

pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …