Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectationsaugmented specification reduces pricing and premium …

describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing … comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average … missed by the market factor. Moreover, B/M factor has shown as a stronger common risk proxy in relation to size factor …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

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 …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty … generates a sizable average annual equity premium, relatively low average risk-free rate and a high mean Sharpe ratio that … approximates the data average with (1) low risk aversion, (2) non-persistent (i.i.d.) growth rates, (3) power utility, (4) diffuse …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …