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 …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

dataset covering 1% of German households for the period 1995-2009, we analyse the return and risk properties that can be … expected from human capital contracts. We find that funds of human capital contracts provide low risk exposures to stocks and … bonds. As a result, risk-adjusted returns of funds of human capital contracts are signicantly positive under fairly weak …

; Scholz and Wilkens, 2005). Users often forget the main core assumption describing the appropriateness of such risk …

-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non … outperform on a risk-adjusted basis, during 1998-2005. We find that outperformance in the later period is driven by large firms …

Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to … Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the …

. Moreover, analysis of the micro data indicates that expectations of both risk and returns on stocks are strongly influenced by …

Momentum profits can be explained by exposure to risks omitted from common factor models (distress risk, idiosyncratic … risk, and covariance with corporate bonds) and underreaction to innovations in these risks. Momentum strategies tend to go … long risky stocks with high expected returns. Consistent with risk as a partial explanation of momentum profits, long …