The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors … the stochastic discount factor (mt) used to price securities within inter-temporal asset pricing models. We show that risk … errors in the statistical factor model with mt: Secondly we compare estimates of factor risk premia using portfolios with the …

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

similar investment subsidies were implemented in the same country, two years apart: once during a period of economic stability … offer an important policy opportunity to encourage investment …

that anticipate the actual tax base incorrectly. I analyze the effects of stochastic taxation on investment behavior in a … the effects of both tax base and tax rate uncertainty, the investment's tax payment is modelled as a stochastic process …. Increased tax uncertainty has an ambiguous impact on investment timing. The view that tax uncertainty depresses real investment …

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk … specifications. We show that risk associated with high damages in the long term leads to stringent mitigation of carbon dioxide … emissions in the near term. Our results provide insight into how a systematic incorporation of climate-related risk influences …

When investment is irreversible, theory suggests that firms will be "reluctant to invest." This reluctance creates a … wedge between the discount rate guiding investment decisions and the standard Jorgensonian user cost (adjusted for risk). We …

, in which sovereign risk is limited through diversification and some form of seniority. These assets would be held by …

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …