-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn … about the different sources of risk in the market return, and subsequently to visual and formal diagnosing of asset pricing … the S&P 500. Empirically, downside risk accounts for most of the forward market return, while symmetric tail risk is not …

computing market risk premia in order to resolve the equity premium puzzle. The extent of this bias is substantial as verified …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different … that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …