Risk Price Variation: The Missing Half of Empirical Asset Pricing
发现不同资产对相同风险暴露的补偿存在差异，开发了基于k均值聚类的分组方法，并检验了风险溢价差异的显著性，对资产定价实证研究有重要参考价值。
Abstract Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create apparently high Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in compensation for risk. We extend k-means clustering to group assets by risk prices and introduce a formal test for whether differences in risk premiums across market segments are too large to occur by chance. We find significant evidence of cross-sectional variation in risk prices for almost all combinations of test assets, factor models, and time periods considered.