a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel approach mapping … consumption risk exposures to firm characteristics, we combine the traditional portfolio-level approach to testing asset pricing … models with firm-level information to measure firm-level risk exposures. First, at the portfolio level, we investigate the …

We propose a novel approach to measuring firm-level risk exposures and costs of equity. Using a simple consumption … relation between exposures to consumption risk and portfolio-level characteristics. We use this relation to calculate exposures … to consumption risk at the firm level and show that the calculated consumption risk exposures yield portfolios with large …