In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the … parameters for the disaster process, and (2) the disaster takes time to unfold and is not directly observable. The model … generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity …

distinguish between risk- and mispricing-based anomalies. …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …

-Bewley-Huggett framework augmented to include fertility decisions and infertility risk. Building on Becker and Tomes (1976), I model fertility … earnings risk lead to a postponement in births by young households, and are associated with a decline in the total number of … births. The linkage between earnings risk and fertility patterns highlights the important role that labor market conditions …