markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require … compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual …