The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So … idiosyncratic risk and stock returns in the Indian stock market employing quantile regressions. Using quantile regressions, this … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at …

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 …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

This paper investigates how the downside tail risk of stock returns is differentiated cross-sectionally. Stock returns … follow heavy-tailed distributions with downside tail risk determined by the tail shape and scale. If safety-first investors … are concerned with sufficiently large downside losses, i.e. have a sufficiently low risk tolerance, then in the …

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the … quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is …' inflation betas can account for the size, variability, predictability and sign reversals in inflation risk premia …

-illiquidity, and high-skewness portfolios. Our results suggest risk-seeking behavior among African investors similar to that in other …

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … time varying risk factor loadings. Unconditional alpha subsequently becomes biased when asset ivol correlates with the …

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 …

This paper shows that the impact of labor income risk on the cross-section of expected stock returns depends crucially … robust evidence that the two- to four-year horizon strongly dominates. Labor income risk at this medium term horizon carries … a highly significant price of risk, while at other horizons it does not. A simple two-factor model that includes the …

alpha, in line with our theoretical predictions. Finally, we estimate a significant negative illiquidity risk premium that …