Duration is an important and well-established risk characteristic for fixed income securities. We use recent … financial statement analysis can be used to construct superior measures of equity security risk. …

supports these assumptions. An empirical application of the arbitrage equations providesevidence that risk aversion and …

consumption good to the long-run risk model of Bansal and Yaron [2004] to study the asset pricing implications of observed changes … in the dynamics of oil consumption generates increasedsystematic risk from oil price shocks due to their increased … overall consumption risk and lower the equity premium. The model also predicts thatthese changes aect the riskiness of of oil …

important risk. However, the effects of firm-level variables remain significant after higher moments are included, indicating a …

consumption volatility is a priced source of risk and exposure to it strongly negatively predicts future returns in the cross …

What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996 …) and Mankiw (1986) have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during … idiosyncratic risk to account for the observed Sharpe ratio on U.S. equity. While the Constantinides-Duffie model can account for …

investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular …, I examine intertemporal risk and long-run risk in the cross section of returns. In addition, I develop a firm-level test … positive premium for taking on market risk and zero-beta assets earn the risk-free rate. Moreover, investors accept lower …