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 …

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

many countries. Liberalization of debt inflows exposes economies to the risk of crises stemming from sudden changes in …

This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to … risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a … positive distress risk premium in emerging market equities and show that the impact of a global "risk-off" environment on …

risk associated with holding investible securities. Consistent with this fact: 1) the average effect of the reduction in … systematic risk is 3.4 percentage points, or roughly one third of the total effect; and 2) variation in the firm …-specific response is directly proportional to the firm-specific change in systematic risk. The statistical significance of this …

in their business cycles relative to those of advanced economies. Information on the domestic price of risk, cost of …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

-moves with global risk perception (VIX) for all currencies, whereas only for emerging market currencies there is a negative …. Third, country risk measured by the degree of policy uncertainty can explain both the negative comovement of the UIP premium … markets, the UIP premium is a risk premium. Global investors charge an "excess" premium to compensate for policy uncertainty …