The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro …, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual … earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model … also features a declining average term structure of dividend risk-premia if recessions are over-represented in a short …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme …

involuntary or accidental. Moreover, parameter estimates using subjective mortality risk perform better in predicting out … influenced more strongly by individual-level beliefs about mortality risk than by group level mortality risk …

priced risk …

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary …