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 …

the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici …, and Whitelaw, 2011) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains …

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 …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

The risk of financial ruin during retirement plays a critical role in the formation of equity premiums. Retirees … supply side, for retirees who seek to reduce the risk to outlive their money, the average asset-weighted risk-neutral equity … premium, proved to be around 8%. On the demand side, risk adjustments may be done using the traditional utility-based and …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making … associated risk of shares, and of the portfolio of the shares. The illustrations of tables and figures can significantly … contribute to the understanding of a reader in relation to portfolio management of risk and returns. The illustrative table and …