feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation …, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20 …

This paper develops a rule for calculating a discount rate to value risky projects. The rule assumes that asset risk … each of these assets under any theory of debt and taxes and under any assumption about the slope and intercept of the …

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

optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with … equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …