We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, sub … risk factors and inductive structural breaks results in a superior model (R2 of 80.42% relative to R2 of 68.79% of … of returns, can be attributed to the changing relationship between sector returns and risk premia …

these changes on the risk profile of the sector. Our results show that the liberalization legislation significantly … increased systematic risk exposure of the sector, reducing its role as a defensive investment asset. We also show that … commodities had relatively little impact on sector returns, but this was expected as utilities can offset commodity risk in …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

2005 and December 2010. Based on the capital asset pricing model (CAPM) and multi-factor market models, the systematic risk … of the power companies relative to the overall market performance and other typical energy and macroeconomic risk factors … is analyzed. The full-information approach is used to determine technology-specific betas and risk factor sensitivities …

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the … that long-term growth and volatility capture largely common risk. We then propose a single, long-term, macroeconomic risk … factor which drives out standard long-run risk measures and performs similar to the Fama-French three-factor model in cross …

significantly positively associated with future realized stock returns and also significantly correlates with commonly used risk …

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …

, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset … pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …