risk-based, and the other purely statistical. The pricing kernel model expresses the expected return as the covariance of …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the …

conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these … conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-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 …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

Asset Pricing, Default Risk. - The central question of this thesis is whether firm distress risk explains stock returns …. This question is important because it has been suspected that distress risk might reconcile a growing evidence on patterns …

We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by … observed especially in small size and low book-to-market ratio firms, which are in general more sensitive to interest-rate risk …