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 …

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

hybrid asset class, with returns explained by a rich mix of compensated risk factors plus uncompensated sector risk. He shows … that the same is true for private real estate, but with the additional contribution to risk from misappraisals. It is the …

profit from these effects earn average returns similar to those of the factors, with substantially reduced risk. Betas are …

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 …

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

work for long-horizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse …

and still find no downside risk premium. We focus on factor analysis results, persistence of downside beta and various …

-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 …