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

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 …

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 …

We develop a novel argument why better public information can help countries to insure against idiosyncratic risk … and engage in risk-sharing contracts with limited enforceability. Better public information has two opposite effects …. First, it has a detrimental effect on risk sharing by limiting risk-sharing possibilities as emphasized by Hirshleifer (1971 …

The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based … gauge the uncertainty pertaining to the country risk aversion estimates by means of jackknife resampling and pooling. The … confidence band for the world risk aversion estimate from the pooled country data is much tighter and the pooled point estimate …