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 …

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 …

in major commodity-producing countries. We do not observe significant changes in risk premiums before elections …

idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk …, but less so than firm characteristics. Idiosyncratic risk falls as government stability and respect for the rule of law … improve. Idiosyncratic risk is positively related to stock market development but negatively related to bond market …

and book to market asset classes over troughs. The US small cap premium is related to default risk, although recessions … per se do not on average impact on this premium. Default risk and the inflation risk differential between Canada and the …

This article examines the risk and return characteristics of U.S. mutual funds. We employ an equilibrium version of the … rotational indeterminacy of factor models. This procedure is a hybrid of statistical factor estimation and prespecification of …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to "good news," but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …