This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and …

assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset …

amplification of systemic risk. We caution against focusing on the accounting rule in isolation, and instead emphasize the …-based information, our results indicate that regulatory simplicity may be preferred to the complexity of risk-weighted capital ratios … that gives rise, through interactions with accounting rules, to distorted risk-taking incentives and potential build-up of …

Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and …

expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the …

Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation …. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas … orchard with heterogeneous beliefs, stochastic macro-economic uncertainty, and default risk. I study two manifestations of …

interest rates, and countercyclical market prices of risk when the elasticity of intertemporal substitution (EIS) is greater …

i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …