We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by … observed especially in small size and low book-to-market ratio firms, which are in general more sensitive to interest-rate risk …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is … priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross … pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he …