returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the …

many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …

Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be … consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns … the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors …

This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock …-return relationship. Applying this method to the bear risk factor proposed by Lu and Murray (2019) reveals that the negative correlation … between bear betas and stock returns does not reflect systematic risk premia. Instead, it represents an anomaly closely …

In this paper we show that the failure of the CAPM beta to predict individual stocks' expected returns documented by …. These stocks' betas tend to reverse. Therefore, even when the CAPM holds period-by-period, the cross-sectional evidence on …, the market risk premium estimated from cross-sectional regression is close to that of the historical average. All results …

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets …. This paper examines the presence and significance of an intertemporal relation between expected return and risk in the …-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter. Five-minute returns on …

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 …

describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing … comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average … missed by the market factor. Moreover, B/M factor has shown as a stronger common risk proxy in relation to size factor …