represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …

We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, sub … risk factors and inductive structural breaks results in a superior model (R2 of 80.42% relative to R2 of 68.79% of … of returns, can be attributed to the changing relationship between sector returns and risk premia …

, evidence of time-series autocorrelation from Fama-MacBeth cross-sectional regressions persists without any good risk …

theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing … research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange …

an explanation for these findings: the shorting premium is arbitrageurs' compensation for the concentrated risk they bear … in shorting overpriced stocks. Because this risk is on the short side, a larger premium means a more overpriced stock. We … proxy for shorting risk using stocks' covariance with the CME portfolio, and demonstrate that a Fama-French CME factor model …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

positive risk prices are consistent with the Intertemporal Capital Asset Pricing Model (ICAPM) of Merton (1973), given how the … variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …