i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in … order to rationalize the stock market risk premium. This result holds for a variety of data sources and samples –including …-sectional dis-persion of consumption risk relative to the cross-sectional variation of average returns …