Uncertainty Risk Profiles, Idiosyncratic Risk, Systemic Risk, Risk Preferences, and Market Efficiency

The data comprise of monthly interval data on return volatility and return skewness for three stocks, Shell plc, BP plc, and ExxonMobil, as well as monthly interval idiosyncratic volatility that are generated by, respectively the Sharpe (1964) one-factor CAPM; the Harvey and Siddique (2000) market coskewness CAPM; the Kraus and Litzenberger (1976) market skewness CAPM; the Fama and French (1993) three-factor CAPM; and an asset pricing model that aggregates the Kraus and Litzenberger (1976) and Fama and French (1993) models.

Using rationality conditions that are developed in the two studies in which the empirical results are reported, the data and the accompanying code facilitate a benchmarking of either of an individual stock or a portfolio of stocks with reference to some portfolio that is designated the 'reference portfolio' (the first study); or a juxtaposition of the robustness of heterogenous specifications of affine specifications of asset pricing models, all of which incorporate the market portfolio to the pricing of risk preferences (the second study).