asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … time varying risk factor loadings. Unconditional alpha subsequently becomes biased when asset ivol correlates with the …

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

intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk …

Our study examines whether financial distress risk is systematic risk using twelve portfolios sorted by size, book … risk factors that best capture default risk. The empirical findings show that: (i) equity portfolio investment requires … systematically both size and value premiums and that SMB and HML capture additional risk missed by the market portfolio; (ii) the …

The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission … financial performances, especially of listed companies. There are two ways these companies can disclose their transition risk … exposure and are not alternatives. One is the explicit declaration of exposure to transition risk in the legally binding …