kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and … the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

crash risk. Therefore, we apply modern information retrieval techniques to corporate textual disclosures by constructing … search for equity is associated with higher future stock price crash risk. Further analyses suggest that managers with … of earnings manipulation and textual obfuscation on stock price crash risk. In summary, our results suggest that managers …

structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

tail risk. The impact of the misalignment across the different dimensions of the ESG score is distinct from that of ESG … score level itself. Aggregate downside risk bears a negative price for firms with low ESG disparity. …

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics … to address CAPM criticisms and provide new perspective on WACC estimates. The firm-based measure focuses on firm …-based WACC measures, along with the traditional CAPM-based WACC measure, to a broad sector-based cross section from 1972 to 2015 …