In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …

interest. Kahneman and Tversky in 1979 suggested a more accurate description of preferences compared to expected utility theory … stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were … proposed as an indicator sensitive to the pertinent risk of financial investment. However this measures are indifferent to …

We study rollover risk and collateral value in a dynamic asset pricing model with endogenous debt financing by … borrowers face rollover risk if the belief dispersion between the borrowers and the pessimistic lenders widens after interim bad … presence of the rollover risk. We also highlight the role of interim trading which, by allowing creditors to sell seized …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …