risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in … obtain estimates of asset-level climate risk exposure: 'carbon beta'. Validation of carbon betas confirms that variation in … climate risk exposures aligns with our prior expectations. Our measure has desirable properties regarding availability …

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …