This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks …. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

implicitly associated with transition risk exposure. This paper empirically analyses to what extent US companies stock returns … total stock returns is negative. Evidence supports the view that market operators price negatively the transition risk …The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission …

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the …) to assess which uncertainties are the potential drivers of stock returns under different market conditions. We find that … of bioenergy and oil & gas returns, the connectedness between assets of these energy types could therefore increase when …

and returns. The paper finds, inter alia, that VC returns show sensitivity to the economic cycle. At the same time, it … VC returns follow a power-law. Finally, it employs competing risks models to analyse time-to-outcome data, observing that … VC firm experience only relates positively to performance when outstanding (e.g. 3rd generation fund or above). However …

their beliefs and start tail risk hedging. …

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk … history; e.g., it increases during recessions. We show the model implied time series of asset returns substantially match the …