the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … change over time? This chapter reviews what is known about the time-series evolution of the risk-return tradeoff for stock …

This Paper solves explicitly a simple equilibrium asset pricing model with liquidity risk – the risk arising from … various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and …

This Paper investigates the link between a firm’s competitive environment and the idiosyncratic volatility of its stock … volatility. We posit that competition affects volatility in two distinct and inter-related ways. Market power works as a hedging … information uncertainty for investors and therefore lower return volatility. We find strong support for both effects. Our results …

relative risk aversion can always be found for which the standard model generates identical unconditional asset pricing … implications for two asset returns, a risky and risk-free asset. Second, we show, using simulated data from several leading asset …

This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders … particularly good when the informationally adjusted risk bearing capacity of traders is not very large. This is not the case if … informed traders are close to risk neutral. Both equilibria converge to the competitive equilibrium of an idealized limit …