From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …

We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by … findings, these constraints result in a nonlinear model implying a bounded and positive risk-return relationship. Our empirical … results show that the positive risk-return relation in the U.S. data is statistically significant over the mean return …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

; Spread Decomposition Models ; Adverse Selection Risk …