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 …

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 …

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 …

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 …

Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross …

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in … investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market …