dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend … ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend … the dynamics of the expected return and the price-dividend ratio. By parameterizing one or more of expected returns … of the other variables. Our relations are useful for understanding the risk-return trade-off, as well as characterizing …

This paper discusses the recent changes in the market for catastrophe risk. These risks have traditionally been … protection should not be too high; dollar amounts of risk transfer should not be too small; loss triggers should be beyond …

This paper examines the market for catastrophe event risk -- i.e., financial claims that are linked to losses … transferring risk are being explored. The paper studies several recent transactions by USAA which use reinsurance capacity from … demonstrate that both features deviate from what theory would predict, yet are characteristic of many transactions, not simply …

with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other …This paper examines the market for catastrophe event risk i.e., financial claims that are linked to losses associated …, especially after cat events. We then examine clinical evidence to understand why the theory fails. Specifically, we examine …

how it affects rational investors' demand for event risk exposures. We show that while parameter uncertainty does indeed … argue that parameter uncertainty does not appear to be a satisfactory explanation for high event-risk returns …

some or all of the financial risk associated with the insurance. This paper generalizes the theory of insurance to analyze … the market. The" theory makes cross-sectional predictions on which firms will choose to produce insurance, as well as how … prices and loss experience will vary with the production decision; the theory also predicts which lines of insurance are …

We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value …-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less …