with shorter maturities, thus generating higher expected return. My estimation implies reasonable magnitude of risk … for both one-period and long-run risk return tradeoff in a cross-section of test assets. This factor is identified as an … additional source of consumption risk in a structural model where investors are endowed with recursive preferences over …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

This paper presents the shadow Capital Asset Pricing Model (CAPM) of Ma (2011a) as an intertemporal equilibrium asset … pricing model, and tests it empirically. In contrast to the classical CAPM - a single factor model based on a strong … behavioral or distributional assumption, the shadow CAPM can be represented as a two factor model, and only requires a modest …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework … asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component …

obtained with other measures and provide new evidence on the time-series properties and predictive power of idiosyncratic risk … explanatory power of idiosyncratic risk on the average market portfolio return. Additionally, we provide some criteria for the …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify … the stochastic discount factor and deviates from the standard security market line when beta risk is priced. When … estimating the model on returns and options we find that allowing for beta risk helps explain the expected returns on the low and …