parameters of the best linear approximation is characterized via its support function, and limit theory is developed for the …

-sectional heterogeneity linked to (non-linear interactions of) return volatility, size, and value, (ii) structural changes in factor relevance … predicted by market volatility and valuation, and (iii) MKTRF and SMB as common factors and multiple uncommon factors across … characteristics-managed-market-timed clusters. BCM helps explain volatility- or size-related anomalies, exploit within-group tests …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can … account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …

-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables … dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non …

volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … preferences that generate time-varying risk over the cycle, and so account for observed asset pricing fluctuations, and for human …