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 …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative …

conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these … conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk …

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. …

asset allocation. We find that all three regulatory changes significantly impact risk premia, with impacts differing across …

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading …

Winner stocks have higher risk exposure to Fama and French's (1993) three factors (FF3F) than loser stocks during good … economic times, and therefore should earn higher expected returns. Employing the conditional FF3F model to risk adjust returns …-level estimate. We point out a bias in the existing methodology of component-level risk adjustment. After correcting for this bias …

In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample … period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk … premia by Giglio and Xiu (2021), we find that several factors, including default risk, are also priced in country equity …