"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of … (CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas …-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three …

We provide a preference-based rationale for endogenous overconfidence. Horizon-dependent risk aversion, combined with a … possibility to forget, can generate overconfidence and excessive risk taking in equilibrium. An “anxiety prone” agent, who is more … risk-averse to imminent than to distant risks, has an incentive to distort her future self’s beliefs toward underestimating …

. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using …

Weather is a key source of income risk, particularly in emerging market economies. This paper uses a randomized …-return but higher-risk cash crops. Our results support the view that financial innovation can mitigate the real effects of … uninsured production risk. Addressing the puzzle of low adoption, we show that payouts improve trust in the product and that …