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 …

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 …