, Roll and Ross (1986) for the U.S. stock market, their model is not successful when describing a risk-return relation of …, two risk factors in that version of the model were statistically significant: default premium, measured as risk premium …

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty … generates a sizable average annual equity premium, relatively low average risk-free rate and a high mean Sharpe ratio that … approximates the data average with (1) low risk aversion, (2) non-persistent (i.i.d.) growth rates, (3) power utility, (4) diffuse …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

We conduct an empirical study of risk-return trade-off in fourteen Pacific basin equity markets using several … findings imply that the BiN-GARCH model, which allows for time-variation in the conditional skewness and market price of risk …, captures the expected positive risk-return relationship in eleven out of fourteen markets studied. In comparison, symmetric …

decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find …

the pricing of common equity risk factors …

The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across … skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive …