relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required …. The risk of trusting the OLS beta is especially high when estimation must rely on a small sample …

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

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 …

. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session … use time dependent regressions to capture risk and returns relationships, decision trees in machine learning to compare … trading session. U-shaped patterns into both return and risk are observed, with Mondays exhibiting a more pronounced U …

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 …

portfolios -shaped according to lagged jump returns- incurs 0.8% of risk-adjusted loss in 1-month investment horizon. Together …

-dividend portfolios using various asset pricing models, including the capital asset pricing model (CAPM), the Fama & French 3-Factor Model … significant alphas, a small number do, particularly for larger firms. The CAPM is sufficient for explaining average excess returns …

The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro …, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual … earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure …

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 …