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 …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor …, which we call “displacement risk.” This risk helps explain several empirical patterns, including the existence of the growth …-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk using …

higher average inflation rate than is typically advocated in the literature. A variety of factors contribute to these results … average inflation rate to offset the related welfare costs …

We show that the conditional risk estimation in the ICAPM model (Merton, 1973) should contain the unspanned uncertainty … significant risk-return tradeoff in both aggregated market and stock cross-section, in both short and long run, and both in and …-investment portfolio buying stocks in the top unspanned risk decile and selling stocks in the bottom decile can generate a Fama …

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the … fund returns, we extend previous studies to analyze the effect of reference-day risk on regression alphas, a metric that is …

systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity …

We examine risk-return trade-offs associated with “covlite” deals which lack systematic covenant compliance … requirements of traditional “covheavy” deals. We document demand-driven risk taking incentives in the primary markets where covlite … deal pricing has become increasingly borrower-friendly over time, particularly for high-leveraged low-credit-quality “high-risk …

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 …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …