We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

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 …

I study the effects of changes in risk on asset prices across different time horizons (or time-scales) and provide a … Consumption-CAPM, risk premia are weakly related to consumption volatility at short horizons whereas long-run past volatility … time-scale may not necessarily lead to obtain a significant long-term risk-returns relation upon aggregation of the one …

pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …