Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

uncertainty and risk, as they indicate that uncertainty-averse investors demand a premium for owning stocks with negative βEPU … EPU being an economically priced and distinct risk factor for equities on an international scale …

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …

the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici …, and Whitelaw, 2011) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

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

justification for assessing stocks' risk as a function of the investment horizon. He concludes that stocks' risk increases … appear to hinge on his proof that stocks' risk increases with the investment horizon. But Bodie's methodology also can be … used to prove that any asset class's risk increases with the investment horizon. Thus, if Bodie's methodology is accepted …

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 …