model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between … climate risk and firm value. …

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate … cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta … outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as …

This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using …-term component, consistent with the hypothesis that CID is a proxy for unemployment risk from sectoral shifts …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

-Debreu economy to show that disagreement increases the equity premium. When incorporating this in our estimation, we find little …

We analyze the risk-return trade-off in the US Treasury market using a term-structure model that features volatility … risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk … plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to …

simultaneous estimation of common factors (shared by all countries) and local factors (specific to one country) requires … we avoid sequential estimation effects that may explain the lack of agreement in the multi-country term structure …