We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … linking the CIV factor to income risk faced by households. These three facts are consistent with an incomplete markets …

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 …

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 …

and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input … portfolio earns a risk premium exceeding 4 percent annually. In the time series, an investment strategy that is long on the … durable-good portfolio and short on the market portfolio earns a countercyclical risk premium. We explain these findings in a …

and interest differentials co-move, though the risk premium also plays a critical role for safe haven currencies (Japanese …

news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an … negative when volatility risk is ignored. Our model setup implies a dynamics capital asset pricing model (DCAPM) which …

explanation for these findings: the shorting premium is compensation for the concentrated short risk borne by the small fraction … for this short risk using the CME portfolio return and demonstrate that a Fama-French + CME factor model largely captures …

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

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 …