Investors have to be offered risk premiums to invest in risky assets. These risk premiums take different forms in … different asset markets: equity risk premiums (ERP) in stock markets, default spreads in bond markets and real asset premiums in … economy, the risk aversion of investors, information uncertainty and fear of catastrophe, among other factors. In practice …

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 …

Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price … phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering … and the risk premium is 16 percent of lifetime consumption. These values are about a third of the previously implied …

the value premium – exclusively for portfolios formed in high market price of risk states. This is when the cross …-sectional differences in risk premiums dominate the differences in expected cash flows connecting size and risk. Otherwise, value links … (constant) risk proxies is formally rejected in the data, challenging the use of size-related portfolios as risk factors along …

implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and … volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk …

-to-market spread is a price of risk proxy, while the investment and profitability spreads are factor risk proxies. The evidence …

) Larger cross-sectional book-to-market medians and spreads - price of risk proxies - predict larger market (in sample), size …, value, and investment premiums; (ii) the investment and profitability spreads - factor risk (quantity) proxies - only … forecast the investment and profitability premiums, respectively, especially when conditioned on the price of risk. This …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

This paper empirically describes how the risk premiums of size portfolios vary with macro-economic fluctuations in the … price of risk at the portfolio formation dates, thereby explaining the lack of robustness involving the unconditional size … premium: Only portfolios formed in "bad" states - with price of risk among the largest 30% - earn significantly positive …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …