options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

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 …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

Ranguelova that examined the implication of portfolio risk after the transition to an investment-based system has been completed … system that is completely investment-based. We model intergenerational guarantees and assess the risk of such guarantees to … combinations of taxes and saving deposits in the later years. The extra risk to retirees and/or taxpayers is relatively small …

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 …

This paper provides a theory-based empirical framework for understanding the risk and return on productive capital … assets and their allocation across activities in an economy characterized by idiosyncratic and aggregate risk and thin formal … extensive networks, taking advantage of panel data: income, assets, consumption, gifts, and loans. We decompose risk and …

the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …

International consumption risk sharing studies have largely ignored their models' counterfactual implications for asset … returns although these returns incorporate direct market measures of risk. In this paper, we modify a canonical risk … variance of equity returns and the risk-free rate requires persistent consumption risk, leading to three main findings: (1 …

I examine the risk/return tradeoff for environmental investments, and its implications for policy choice. Consider a … global warming versus uncertainty over those damages, i.e., on the expected benefits from the policy versus their riskiness … risk? Using a simple model of a stock externality (e.g., temperature) that evolves stochastically, I examine the …