This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the … that rising market power, rising unmeasured intangibles, and rising risk premia, play a crucial role, over and above the …

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

to the shares' systematic risk exposure as implied by the market beta. Instead, we show that equity duration is a priced … risk factor with similar properties as the Fama-French value factor B/M ratio. Our analysis suggests that the value premium … might be a compensation for the value firms' higher exposure to cash-flow risk. -- equity duration ; value premium …

We analyze the risk-return trade-off in the US Treasury market using a term-structure model that features volatility … risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk … plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to …

.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the … fluctuations in proprietary income, is highly correlated with cross-sectional measures of idiosyncratic entrepreneurial risk and … as entrepreneurial risk has become more easily diversifiable in the wake of U.S. state-level bank deregulation …