naturally accommodate compensation for higher-order moment risk. Variance risk and the equity premium approximate it to first … order and it nests cross-sectional asset pricing models such as the CAPM. An empirical study in the US index market compares … the investment behavior of an agent with recursive long-run risk preferences to one who merely uses an i.i.d. time series …

, evidence of time-series autocorrelation from Fama-MacBeth cross-sectional regressions persists without any good risk …

regressions, were performed. There was some support for the explanation of green equity returns by market returns and market risk … (beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95 …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …