differently depending on its time orientation, whether forward-looking or non-forward-looking. Using a sample period of ten years … utilized textual analysis of the narrative sections of annual reports to capture aggregate risk disclosure levels and time … react significantly to the time orientation of the content of risk disclosure. Specifically, we find that non …

value logic, and the literature's suggestion that required equity returns have declined over time, I first estimate the …

political upheaval. Based on a novel database of all stocks traded on the NYSE during 1914, along with “real-time” news accounts …

We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

distribution for different time scales. Our approach divides the nonlinear link between expected returns and idiosyncratic risk …