-run risk-free discount rates and long-run risk premia are low. We show how the estimated very long-run discount rates are …

. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test …

in this intermediation amounted to at least 3.4 percent of GNP. The theory implies that financial intermediation services …

, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

explanation for these findings: the shorting premium is compensation for the concentrated short risk borne by the small fraction … for this short risk using the CME portfolio return and demonstrate that a Fama-French + CME factor model largely captures …

managers to greater risk of deviating from the index than trading against undervaluation, agency frictions bias the aggregate … market upwards. They can also generate a negative relationship between risk and return because they raise the volatility of …