and volatility, and decrease contemporaneous returns. Our price-of-risk estimates are also robust to using mimicking …We find strong evidence of a funding risk premium in the cross-section of asset returns. Our estimate for the price of … funding risk is robust across Treasury bonds, corporate bonds, equities, and hedge funds. Funding shocks pose a risk to …

-established determinants of returns from the real world also affect asset prices in this market, despite the absence of systematic risk. The …