From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of … dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments …

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders … particularly good when the informationally adjusted risk bearing capacity of traders is not very large. This is not the case if … informed traders are close to risk neutral. Both equilibria converge to the competitive equilibrium of an idealized limit …

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price … stochastic optimal control (SOC)/dynamic risk management is a much more effective approach to determine the optimal degree of … leverage, the optimum and excessive risk and the probability of a debt crisis. The theoretically founded early warning signals …

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have …