due to risk-sharing. But when it is large, expected return initially increases but then decreases with beta. High beta …

appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … the other hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine a …

movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in … investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …

future consumption given investors' information, and consequently influence equilibrium asset prices and risk premia. In …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the … main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the … coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model …