expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also …There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional … variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the …

The Capital Asset Pricing Model in conjunction with the usual market model assumptions implies that well … expected returns on individual assets. In fact, there is now a large body of evidence indicating that the market proxies … these rejections are in part a consequence of the presence of omitted risk factors which are associated with nonzero risk …

This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like … dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor …

generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that … generate log-symmetric stable price uncertainty. Our analysis is restricted to short-lived options for reasons of mathematical … tractability. Nevertheless, the formula is useful for evaluating many types of risk …

general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and … -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in … plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market …

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 …