We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty …

This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return … default risk. With increasing downside risk, the standard capital as- set pricing model increasingly overestimates required … equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

tail risk. The impact of the misalignment across the different dimensions of the ESG score is distinct from that of ESG … score level itself. Aggregate downside risk bears a negative price for firms with low ESG disparity. …

We present a tractable model of the effects of nonfinancial risk on intertemporal choice. Our purpose is to provide a … economy, where most modelers have chosen not to incorporate serious nonfinancial risk because available methods were too … most of the key implications of nonfinancial risk for intertemporal choice. -- Risk ; Uncertainty ; Precautionary Saving …