kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and … the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an … extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples …

Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal … taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of … the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …In financial economics, numerous theoretical models explain the relationship between investment risk and return in the … capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this …

to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is … the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an … relation between stock returns and risk factors is affected by macroeconomic conditions, especially when considering the …

farmers may require a premium in excess of the decrease in profits to adopt a conservation plan. Identification of this risk … sensitivity of our estimation results to functional form and distributional specifications, we compare the results utilizing …