find that this deterioration can be explained by the escalation of risk brought about by the entry of retail investors into …

-to-market spread is a price of risk proxy, while the investment and profitability spreads are factor risk proxies. The evidence …

a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using …

considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation …. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to … cash flows and discount rates, in understanding equity risk premia …

risk-based, and the other purely statistical. The pricing kernel model expresses the expected return as the covariance of …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

sources of cross sectional risk. I also revisit concerns raised by King (1966) and Black, Jensen, and Scholes (1972) regarding … covariance structure of residual terms generated by the CAPM model of Sharpe (1964), Lintner (1965), and Mossin (1966) as well as …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from … Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that … risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by …

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 …