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 …

the equity premium, Sharpe ratio, and risk aversion are also generally countercyclical. These findings survive several …

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 …

We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached …

portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …