stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest … risks, but only when risk premia change endogenously as predicted by the model …

International risk-sharing has far-reaching implications both for economic policy and for basic research in economics …. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that … are undesirable and possibly unnecessary. This paper extends and refines the study of international risk-sharing in two …

exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers … that the characteristic effect is compensation without risk and allocates it to an "anomaly" intercept. Studying returns …

associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated … with the characteristic, but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance …

geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are … volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation …

("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all … size effects are compensation for the risk of financial distress …

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