Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …

The asset pricing literature has produced hundreds of potential risk factors. Organizing this
“zoo of factors” and distinguishing between useful, useless, and redundant factors require …

Human capital is one of the largest assets in the economy and in theory may play an
important role for asset pricing. Human capital is heterogeneous across investors. One …

Intermediary and downside risk asset pricing theories lay the foundations for spanning the
multi-asset return space by a small number of risk factors. Recent studies show strong …

We propose a three-pass method to estimate the risk premia of observable factors in a linear
asset pricing model, which is valid even when the observed factors are just a subset of the …

We propose a methodology for estimating and testing beta-pricing models when a large
number of assets is available for investment but the number of time-series observations is …

I examine which economic uncertainty measures matter for the cross-section of corporate
bond returns using 40 corporate bond portfolios for a long period from 1973 to 2020. Out of a …

Global risks allow theoretical models of the currency market to explain currency risk premia.
Yet, there is no consensus in the empirical literature on which factors can represent global …

This study examines whether oil and gas risk factors are priced in the returns of Malaysian
oil and gas stocks employing asset pricing model with improved version of Fama-MacBeth …

This study employs a mean semi-variance asset pricing framework to examine the influence
of risk factors on stock returns of oil and gas companies. This study also examines how …