plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …

plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Such a …

This paper shows that the impact of labor income risk on the cross-section of expected stock returns depends crucially … robust evidence that the two- to four-year horizon strongly dominates. Labor income risk at this medium term horizon carries … a highly significant price of risk, while at other horizons it does not. A simple two-factor model that includes the …

This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric … issues for deal-level, fund-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially … the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

This paper studies the empirically relevant problem of estimation and inference in diffusion index forecasting models … squares estimation of the factor augmented regression and propose a break test. The empirical application uncovers … instabilities in the linkages between bond risk premia and macroeconomic factors …

the risk-return trade-off of longer-term bonds. Longer-horizon short rate disagreement co-moves with term premiums. We …