fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

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

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 …

positive risk prices are consistent with the Intertemporal Capital Asset Pricing Model (ICAPM) of Merton (1973), given how the … variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns …

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In … innovation is the use of a set of predictors that account for variation in risk prices across (segmented) markets. These … competing methods (including those that assume homogeneous risk prices) when applied to domestic and international data -- a …

In this paper, we extend the variance risk premium (VRP) in Bollerslev and Tauchen and Zhou (2009) into the moment … multivariate portfolio sorts, we find strong evidence that the kurtosis spread (KTS) has a significantly negative risk premium. The …

construct managed portfolios of a risk-free asset and market index. …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …