This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …

with endogenous solvency constraints. These solvency constraints are such as to prevent default at the cost of reduced risk … kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia …

explaining heterogeneity in firm exposures to systematic risk. These differences in systematic risk are partially explained by …-career experiences of starting their first job in a recession also contribute to differential loadings on systematic risk. These effects …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

economic uncertainty, along with investor preferences for early resolution of uncertainty, as an important economic … prices, including the equity premia, risk-free rate and volatility puzzles …

, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset … pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …

What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with …