The authors find that value stocks are riskier because they are usually firms under distress, have high financial leverages, and face substantial uncertainty in future earnings. These risk characteristics are as powerful as are size and book-to-market in explaining cross-sectional differences in...

The authors investigate the cross-sectional relation between dividend yield and expected return and attempt to include various effects of changing risk measures and changing risk premiums. A stock's risk is measured by its sensitivities to two factors, a market factor and a changing-risk-premium...