that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …

-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the … of risk/return relationship and the hedging ability against bear/crashing markets. We develop an investible portfolio MKT …

This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock …-return relationship. Applying this method to the bear risk factor proposed by Lu and Murray (2019) reveals that the negative correlation … between bear betas and stock returns does not reflect systematic risk premia. Instead, it represents an anomaly closely …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

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