positively only when the trader executes a successful trade or stays flat otherwise. We apply the ESR formula to a sample of risk …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA …) counterpart in portfolio performance. Collectively, they extend the return/volatility-based Modern Portfolio Theory (MPT) to a … Unified Modern Portfolio Theory (UMPT) with built-in treatments on liquidity risk …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in … explanatory power of long-run risk asset-pricing models …

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 …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If … idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently …

(CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can … hedge against uncertainty risk and earn lower risk premiums than value stocks. An investment-based asset pricing model … augmented with time-varying uncertainty accounts for both the value premium and the empirical failure of the CAPM. This study …

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 …