considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation …. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to … cash flows and discount rates, in understanding equity risk premia …

a stochastic growth and discount factors in determining risk-adjusted values. These methods are supported by …-based implications for the term structure of risk prices. As an illustration of the methods, I re-examine some recent preference based …