a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing …

with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because …

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 …

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks covary more with this … time-varying price of risk than value stocks, which covary more with shocks to cash flows. When the model is calibrated to …

rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In …, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk …-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a ``term structure of the risk-return tradeoff …

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional … expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also … increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find …