idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently … expected stock returns, and new supporting evidence that idiosyncratic risk is priced …

This study reveals the information content of individual investors' risk-adjusted return expectations. Although … risk-adjusted return expectations is predictive of future risk-adjusted stock performance. Stock purchases that investors …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock …'s expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the …

Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a …. This measure, derived from statistical extreme value theory, is non-parametric. Extreme down-side risk is used in double …

demand arise as a risk factor. Motivated by theory, we use shocks to the ratio of residential-to-aggregate investment to … capture the housing demand risk. The single-factor model exhibits strong explanatory power for expected returns across various … equity characteristic-sorted portfolios and non-equity asset classes with positive risk price estimates that are similar in …