We study the relationship between stock market return expectations and risk aversion of individuals and test whether … Dutch National Bank Household Survey, we find that risk aversion levels have significant and negative effects on stock … between stock market expectations and risk aversion. These effects are in addition to a significant and positive impact from …

monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in … idiosyncratic risk. Models that use firm characteristics to predict firm-level idiosyncratic risk estimated over 1963-2012 can …

evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …