investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …

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 …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were … needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful … information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk …

We study the intertemporal risk-return tradeoff relations based on returns from 18 international markets. We find … striking new empirical evidence that the inclusion of U.S. market returns significantly changes the estimated risk …

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

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 …

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate …