We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders …, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal … for the shareholders, which are two important ingredients for generating high and countercyclical risk premiums. These …

In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns … constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities …

with regard to these probabilities. Accounting for ambiguity in asset pricing theory results in a model with two systematic … components, beta risk and beta ambiguity. The focus of this paper is to study the empirical implications of ambiguity for the …, systematic risk and systematic ambiguity …

In a model with multiple agents with different risk aversions facing margin constraints, we show how securities … constraints bind, lowering risk free rates and raising Sharpe ratios of risky securities, especially for high-margin securities …

We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders …, bondholders and workers - that differ in participation in the capital market and in terms of risk aversion. Aggregate productivity … and distribution risk are shared among these agents via the bond market and via an efficient labor contract. The result is …

out of fully rational sets of beliefs, attitudes, and preferences. Financial risk management theory and textbook hedging … order to neutralize the risk of adverse movements in the value of their investments as far as possible. The evidence however …, contradicts this expectation. Behavioral theory and research has shown that attitudes and decision-making biases affect behaviors …

We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where … the prediction on prices, which do not vary with RA and are close to the risk‐neutral benchmark. This purported conflict … is due to traders, particularly the more risk‐averse ones, conveying into prices only part of their information. …