This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … idiosyncratic risk and stock returns. The result shows that both components of risk for individual stocks are changing over time … historical point of view, we show that the relation between idiosyncratic risk and stock return is time-varying, and it did not …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …