long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

In this paper we study the neoclassical growth model with idiosyncratic income risk and aggregate risk in which risk … pay off depending on both idiosyncratic and aggregate risk, but limited commitment rules out that households sell these … conditions under which it has lower/higher risk premia than the corresponding representative agent version of the model …

International risk-sharing has far-reaching implications both for economic policy and for basic research in economics …. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that … are undesirable and possibly unnecessary. This paper extends and refines the study of international risk-sharing in two …

exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers … that the characteristic effect is compensation without risk and allocates it to an "anomaly" intercept. Studying returns …

the unpriced risk. We apply our methodology to hedge out unpriced risk in the Fama and French (2015) five-factors. We find …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

idiosyncratic entrepreneurial risk-- a risk that introduces, not only a precautionary motive for saving, but also a wedge between …

. More risk-averse entrepreneurs default earlier, but also choose higher leverage, even though leverage makes his equity more … risky. Non-diversified entrepreneurs demand both systematic and idiosyncratic risk premium. Cash-out option and external … equity further improve diversification and raise the entrepreneur's valuation of the firm. Finally, entrepreneurial risk …