technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer … these intermittent re-balancers more than double the effect of aggregate shocks on the time variation in risk premia by …

more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint … discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield …

it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also …

linking the CIV factor to income risk faced by households. These three facts are consistent with an incomplete markets …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets …' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus …