inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients between 2 and 7 are elicited. …

Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be … nonlinear dynamics. 2) The deterioration of mark et conditions for financial names changes the way investors price risk of the …

reverting and countercyclical (instead of constant in the standard model) market prices of risk, mean reverting and procyclical … (instead of constant) risk free rates, decreasing (instead of flat) yield curves in the long run, possibly higher returns and … higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

Mutual funds industry has been sought by French politicians as mediation between the popular savings and company … funds industry has becoming a global competitive industry draining an even greater share of the savings, it has failed in …

In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered …: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii …) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov …

rate risk, is more closely associated with comprehensive income volatility than either net income volatility or fair value … negatively associated with bank share prices, suggesting that comprehensive income volatility captures incremental risk factors … representation of bank risk, and is not more related to capital market pricing of risk in bank shares, than either net income …