The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long … contango as mimicking portfolios for commodity risk. We find that equity-sorted portfolios with greater sensitivities to the … measured appropriately, commodity risk is pervasive in stocks. Our conclusions are robust to the addition to the pricing model …

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 …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

. This measure, derived from statistical extreme value theory, is non-parametric. Extreme down-side risk is used in double …Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other …

We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience … cannot be explained by several known determinants of average returns and are consistent with the ex-ante pricing of the risk …

idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently … expected stock returns, and new supporting evidence that idiosyncratic risk is priced …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …