When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one … reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood … of a transfer from the sovereign risk to corporate default risks may be mitigated by legal institutions that provide …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the …

cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity … premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We … are potentially correlated with return shocks. Our empirical tests show that the cross-sectional price of risk (1) is …

, 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 …