the language tone in news articles is not a priced risk factor in the cross-section of stock returns. Nevertheless, the …

at the OSE. Oil is, however, not a priced risk factor in the Norwegian stock market. As the case in many other countries …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 …

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not … cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and … cyclicality of credit spreads, and variation in the corporate bond risk premium amplifies macroeconomic fluctuations in investment …

internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …

a risk function of aggregation across models. The proposed method relaxes the perfect substitutability of the candidate …