markets had the greater sensitivity. Our conclusions have important implications for the pricing of country risk premia in …

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

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 …

climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …