extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental …

semi-Markov structure designed to accommodate many of the stylized facts of credit rating migrations. Parameter estimation … experiment is carried out to show the effectiveness of the estimation procedure. An empirical application is presented for … significant. Finally, we investigate whether the common factor model suffices to capture systematic risk in rating transition data …

semi-Markov structure designed to accommodate many of the stylized facts of credit rating migrations. Parameter estimation … experiment is carried out to show the effectiveness of the estimation procedure. An empirical application is presented for … significant. Finally, we investigate whether the common factor model suffices to capture systematic risk in rating transition data …

semi-Markov structure designed to accommodate many of the stylized facts of credit rating migrations. Parameter estimation … experiment is carried out to show the effectiveness of the estimation procedure. An empirical application is presented for … significant. Finally, we investigate whether the common factor model suffices to capture systematic risk in rating transition data …