, paying particular attention to the influence of differences in tax rates and attitudes toward risk. Under the plausible … assumptions that households are more risk averse than institutions and possess a greater relative quot;tax preferencequot; for … equity versus debt, we are able to characterize the equilibria which may result when debt is subject to bankruptcy risk …

rates of return on in- vestment securities for bearing greater risk. This paper looks at the historical evidence regarding … risk and return, explains the fundamentals of portfolio and asset pricing theory, and then goes on to take a new look at … the relationship between risk and return using some unexplored risk measures that seem to capture quite closely the actual …

This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in … banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk … that is related to covariance with the market portfolio) and residual risk (the aggregate of specific risk and extra …

discussion of dependency ratios. Two alternative measures of age are explored: mortality risk and remaining life expectancy. With …

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish … short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the … propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from …

In this paper we reassess the evidence on labor income risk. There are two leading views on the nature of the income …