We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...

Historically, cat bonds have provided high single-digit average annual returns, paired with a low volatility and little correlation to other asset classes. While there is an extensive literature that explains (ex-ante) cat bonds spreads, there is no factor model in the academic literature that...

In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk premia by Giglio and Xiu (2021), we find that several...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the risk-return trade-off among alternative equity factors. We obtain a positivein-sample trade-off for the pro fitability (RMW) and investment (CMA/IA) factors of Famaand French (2015) and Hou, Xue, and Zhang (2015), while for the market and momentumfactors there is a negative...

Motivated by existing evidence of a preference among investors for stocks with high maximum daily returns, we document that lottery-like payoffs measured by maximum daily returns are almost entirely idiosyncratic. Firm-level cross-sectional regressions and portfolio-sort analyses prove that...