this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity …

risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption … CAPM that prices international stock returns via their exposures to multi-period consumption growth in world consumption … performs considerably better in explaining the international cross-section of returns than the canonical consumption CAPM. By …

The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across … skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …