This paper addresses the issue of intergenerational and internationalsharing of longevity and growth risks. Current research on worldwidedemographic changes highlights the importance of longevity risk on financialmarkets and the need to devise optimal hedging vehicles. We present a...

Let S be an Rd-valued semimartingale and ( n) a sequence of C-valued inte-grands, i.e., predictable, S-integrable processes taking values in some given closedset C(!, t) ⊆ Rd which may depend on the state ! and time t in a predictable way.Suppose that the stochastic integrals ( n · S)...

It is well known from anecdotal, survey and econometric evidence that the relationshipbetween the exchange rate and macro fundamentals is highly unstable. Thiscould be explained when structural parameters are known and very volatile, neitherof which seems plausible. Instead we argue that large...

We conducted a survey on risk perception of investment products in the German-speakingarea of Switzerland. Unlike the typical two-factor structure documented in the previousliterature, we found that the knowledge-related scales were highly correlated with the riskrelatedscales, whereas the...

I model a financial market that dries out in the wake of premature liquidations.Two main results are obtained. First, liquidity may vanish even if small, riskneutralbuyers could easily compensate the ongoing selling. Thus, more marketsare vulnerable to “runs” than suggested by previous work....

This paper develops a signalling game in which the decision to raise public equityis a real option of the …rm. Firms may use multiple signals to reveal their type:the timing of the IPO, the fraction of shares issued and the underpricing of shares.The model provides a tractable approach for...

The paper examines a game-theoretic evolutionary model of a …-nancial market with endogenous equilibrium asset prices. Assetspay dividends that are partially consumed and partially rein-vested. The traders use general, adaptive strategies (portfoliorules), distributing their wealth between...

In this paper I analyze how debt structure and the strategic interaction betweenshareholders and creditors in the event of default a¤ect expected stock returns. By en-dogenizing shareholders decision to default, the model generates new predictions linking…rm characteristics to expected stock...

Stein’s lemma is extended to the case where asset returns have skewed and leptokurticdistributions. The risk premium is still the negative of the covariance of theexcess return with the log SDF.[...] Paul Söderlind]

A simple consumption-based two-period model is used to study the (theoretical)effects of disagreement on asset prices. Analytical and numerical results showthat individual uncertainty has a much larger effect on risk premia than disagreementif (i) the risk aversion is reasonably high and (ii)...