Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading … nonetheless belie a possible tension rather than consistency between leverage constraints and low-risk investing: namely, that …

the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that … multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver … of MBS spreads and present a new pricing model that uses “stripped” MBS prices to identify the contribution of this risk … to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the …

This paper shows that the risk-bearing capacity of securities brokers and dealers is a strong determinant of risk … premia and the volatility of returns in commodity markets. I measure risk-bearing capacity as the fraction of broker … of broker-dealers is to provide insurance against commodity price fluctuations. I estimate cross-sectional prices of risk …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …

dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from …

settings where prices of risk vary with observed state variables. We identify conditions under which four-stage regression … time-varying prices of risk are pervasive, thus favoring dynamic cross-sectional asset pricing models over standard …

long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework … term structure of the variance risk premium and finds that a short-run component dominates market excess return …