I incorporate the productivity risks into an investment-based q-factor asset pricing model. The productivity risks … parsimonious q-factor model driven by productivity risks explains about 90% variation of return of 25 Size/BM portfolios and 75 …-factor model, and the Hou, Mo, Xue & Zhang (2020) augmented q-factor model. As such, productivity risks significantly affect asset …

This study quantifies and decomposes the impact of increasing firm risk on different production factors. We find that a … one standard deviation increase in firm-level risk reduces the total output growth rate of a firm by 1.19 percentage … points, of which approximately 77% is from the reduction in total factor productivity growth, 21% is from slower labor growth …

-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equilibrium (GE) theory …Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law …

This paper studies the implications of perceived default risk for aggregate output and productivity. Using a model of …-level probabilities of default which can be applied using data on firm-level employment and default risk. We obtain direct estimates of … firms per year. As expected, we find a strong correlation between default risk and a firm's future performance. We estimate …

the uncertainty about the risks in question, and involve three trade-offs: innovation vs. risk avoidance; liability vs …. collective risk sharing; and equity vs. practicable claims settlement. We study two highly instructive examples: nuclear …

suggest that the banking provisions may be used as a tool of policy risk control and that it is possible to define optimal … risk sharing rules in order to respond to political decision changes. Finally, our empirical discussion attempts to put the …

In this paper, we revisit the conventional view on efficient risk sharing that advance information on future shocks is … detrimental to welfare. In our model, risk-averse agents receive private and public signals on future income realizations and … signals are informative. In this case, we show that better public information can improve the allocation of risk when private …

This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

This paper provides new evidence about the link between firm level total factor productivity (TFP) and stock returns … market ratio, investment, and hiring rate. Low productivity firms earn a significant premium over high productivity firms in …

productivity (TFP) growth that range from -0.15 to -0.98 percentage points at their peak negative response. Cross …