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 …

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 …

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 …

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 …

passive. As U.S. stocks — the assets that U.S. investors tend to overweight — fell relative to the world market portfolio, U …

to the data. Conditional on reasonable risk aversion, we find that the data is consistent with infrequent portfolio …