. The constant relative risk aversion (CRRA) model and several extensions (habit persistence, recursive utility and …

which the objectives of managers and entrepreneurs in choosing the risk composition of their firms' returns are not aligned … managers and entrepreneurs to unhedgeable firm-specific risk, induces them to change the stochastic properties of firm cash … flows. Since they can trade in markets for aggregate risk but not for firm-specific risk, managers and entrepreneurs produce …

This paper evaluates models with idiosyncratic consumption risk using Hansen and Jagannathan’s (1991) volatility bounds …. It is shown that idiosyncratic risk does not change the volatility bounds at all when consumers have constant relative … risk aversion (CRRA) preferences and the distribution of the idiosyncratic shock is independent of the aggregate state …

CDO\ transactions, the non-proportional nature of risk sharing that goes along with tranching. We provide a theoretical … framework for the risk transfer through securitization that builds on a macro risk factor and an idiosyncratic risk factor …, allowing an identification of the types of risk that the individual tranche holders bear. This allows conclusions about the …

-sectional differences in the risk premia as compensation for systematic risk. Instead, country-specific attributes seem to be important in … characterizing the cross-sectional dispersion in the risk premia. …

corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in … highly exposed to the risk of economic depression. This motivates introducing a small, time-varying risk of large economic … implications. An increase in disaster risk makes default more systematic, leading to higher risk premia, and higher expected …

(CSR) activities. We model CSR activities as an investment in customer loyalty and show that CSR decreases systematic risk …