This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both … macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is …

The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns … factors (SDFs) when they are mis-specified and the covariance matrix of the asset returns with the risk factors has less than … with SDFs specified in terms of demeaned risk factors improves the performance of GMM but the power to reject mis …

). I use a present-value model to identify the CF and DR risk factors which are latent from the time series and cross … sections of price-dividend ratios. This setup accommodates models where CF risk dominates, like Bansal and Yaron (2004), and … models where DR risk dominates, like Campbell and Cochrane (1999). I estimate the model on portfolios, which capture several …

This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index … clusters on the basis of their degree of market capitalisation. The results suggest a negative impact of climate physical risk …

purpose, we construct a new dataset that includes balance sheet information, measures of expected default risk, and credit …

between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set …