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 … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

&P 500 index are informative events that trigger a reassessment of the risk of newly added firms by drawing the broad market …

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 …