, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk … factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting …

that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on …

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

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas … risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency … constraints. The adjustment to the Breeden-Lucas stochastic discount factor induces substantial time variation in equity risk …

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross … calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk …

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth -- as done in the previous literature on the C-CAPM and the pattern of …