The Asset pricing literature has produced hundreds of risk factor candidates aimed at explaining the cross-section of … expected excess returns, although risk factors which are in fact capable of providing independent information remains an open …-sectional returns only with PCs (principal components). In this paper, we propose a new methodology that seeks to reduce risk factor …

systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We … that end, return dispersion serves as a more meaningful proxy for risk in this emerging market that has experienced a …

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 …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …