risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain … increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … of growth are statistically independent, the discount rate is increasing with maturity if and only if the beta of the …

equivalent beta becomes infinite for finite maturities. -- asset prices ; term structure ; risk premium ; certainty equivalent … notion of a certainty equivalent beta. We show that its term structure is not constant and that, for short maturities, it … equals the expected beta. If the expected beta is larger than a threshold (which is negative and large in absolute value in …

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We … consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … help explain the strength of the relation. We find evidence that the relation is weaker for firms with more growth options …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …