endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …

Sharpe ratios because changes in uncertainty are not necessarily correlated with changes in equity risk and, therefore, not … predictive power. A managed equity portfolio that takes more risk when news-based uncertainty is high generates an annualized … equity risk-adjusted alpha of 5.33% with an appraisal ratio of 0.46. Managing news-based uncertainty contrasts with …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

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 …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

geopolitical risk. …