From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been …

risk - accounts for a large portion of the cross-sectional variation of size and book-to-market sorted portfolios and … destruction risk amounts to 8.6 percent annually. …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

In this paper, we address the question whether the impact of default risk on equity returns depends on the financial …' default risk, we construct a factor that measures the excess return of firms with low default risk over firms with high … default risk. We then compare results from asset pricing tests for the German and the U.S. stock markets. Since Germany is the …