value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

to the data. Conditional on reasonable risk aversion, we find that the data is consistent with infrequent portfolio …

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

Investor confidence and risk tolerance are important concepts that investors are constantly trying to gauge. Yet these … changes in demand and fundamentals perceived by all investors, and a second that reflects changes in the relative risk … tolerance of institutional investors over and above that of domestics. The latter component, changes in relative risk tolerance …

asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion …

pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …