help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer … these intermittent re-balancers more than double the effect of aggregate shocks on the time variation in risk premia by …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer … these intermittent re-balancers more than double the effect of aggregate shocks on the time variation in risk premia by …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer … these intermittent re-balancers amplify the effect of aggregate shocks on the time variation in risk premia by a factor of …

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 …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …