reaction of monetary policy. When everyone engages in maturity transformation, authorities have little choice but facilitating … correlate their risk exposures. Second, private borrowers may deliberately choose to increase their interest-rate sensitivity …

In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …

We estimate the risk and expected returns of private equity investments based on the market prices of exchange …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

quality and liquidity across countries, we show that the bulk of sovereign yield spreads is explained by differences in credit … quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened …

and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy. An investor facing … event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may …

. Entrepreneurial activity is subject to a dynamic moral hazard problem and entrepreneurs face idiosyncratic capital risk. We first … risk, which determines their hedging value. Entrepreneurial capital always receives a subsidy relative to other assets in …

of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified … portfolios tend to rebalance more actively. We find some evidence that households rebalance towards a higher risky share as they …