downpayment requirements? They distinguish between an early period, the 1950s though the 1970s, when household income risk was … relatively small and loan-to-value ratios were low, and a late period, the 1980s through today, with high household income risk …

Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy … by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold … structure of market expectations. To make the case for this theory we present a single RBE model, which builds on developments …

momentum factors according to Carhart (1997). These risk factors from the four-factor model allow us to estimate more reliable … risk-adjusted returns than in the restrictive one-factor model based on the Capital Asset Pricing Model. In both the US and … to insignificant abnormal returns when all four risk factors are considered so that we find no evidence that SRI is …

This paper examines the evolution of risk in the U.S. financial sector using firm-level equity market data from 1975 to … other policymakers concerned with the origins of financial sector risk and with the links between the financial markets and …