Factor Models of Asset Returns and Bear Market Risk

The authors are grateful for comments and suggestions to Kay Giesecke (editor), an anonymous associate editor, two anonymous referees, Tim Bollerslev, Adam Farago, Massimo Guidolin, Alexandros Kostakis, Alessandro Melone, Olivier Scaillet, Michael Weber, Dacheng Xiu, and participants at presentations held at the 31st EC2 Conference, Paris (December 11–12, 2020), the 14th International Conference on Computational and Financial Econometrics (CFE 2020), the 9th Italian Congress of Econometrics and Empirical Economics, the 2022 Annual SoFiE Conference, the University of Essex, the University of Liverpool, and the University of Verona. All errors are the authors’ own.