. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset … currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental … explanatory power over and above a model that includes economic risk factors …

appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … the other hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine 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 …

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

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates …, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of … are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show …

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 …

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 …

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