This paper examines the optimal allocation of risk across generations whose savings mix is subject to illiquidity in … thus lowers the benefits of risk-sharing. Higher illiquidity then may justify higher levels of risk sharing to compensate …

market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … more than 15% of the returns is explained by common risk factors. …

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk …: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social …

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 …