shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …

I characterize a dynamic economy under general distributions of households' risk tolerance, endowments, and beliefs … consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households' wealth … risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of …

explain a set of behavioral anomalies identified across four distinct domains of decision-making: choice under risk, choice … risk and ambiguity, belief updating, and survey expectations. Our framework makes predictions that we test using exogenous …

We develop an integrated theory of investment, seasoned equity offerings (SEOs), liquidation, and corporate savings …

role of secondary markets in providing opportunities for redistributing risk is made transparent and the modifications …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles, and how much … to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the recent global …

informed traders also know. There can be multiple herding equilibria, and herding speculators may even choose to study …