We decompose the standard consumption beta into two components that measure consumption risk in high and low economic … activity states. Recessionary consumption risk commands a positive and statistically significant compensation, while the market … price of expansionary consumption risk is not robust. The two-beta model explains well the cross-section of excess returns …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … concerning firms' abnormal returns and firms' systematic risk. This can be justified because stock prices adjusted instantly to …

We develop a framework to quantify the convenience yield risk (CYR) inherent to each commodity futures market …

Adding a size-premium to the CAPM is not an uncommon resort in small companies valuations. The objective of the premium … is to price-in the small-size risk by increasing the required return on capital and thus reducing the company estimated … price. Nevertheless, the use of a premium compromises the economic and statistical basis which sustain the CAPM. I present …

higher risk free rates, lower risk premiums on both fully diversified and concentrated assets, and lower output, consumption …, and investment. Household wealth would be 9% lower, yet welfare would be 3.1% higher due to lower risk. Time …-varying exposure to undiversified firm risk that loads on rare disasters can explain approximately 25% of the level and 20% of the …

quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms … profit opportunities and increases default risk for debtholders. Equityholders are protected against default risk due to the …

In this paper, we revisit the question whether the Fama-French factors are manifestations of distress risk premiums. To … this end, we develop new tests specifically aimed at dissecting the Fama-French factor returns from a distress risk premium …. While we find that small-cap and value exposures are typically associated with distress risk, our results also indicate that …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and …