Bali, Turan G.; Zhou, Hao - 2013 - First Draft: March 2011, This Version: January 2013
portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market …A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … (individual stocks) with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find …