Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …

fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure …