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 …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to good news, but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. …

The purpose of this paper is to provide a non-technical exposition of the main conclusions of the theory of Rational … Belief Equilibrium (RBE) for market volatility. It is argued that the theory of Rational Belief Equilibria (RBE) provides a … uncertainty is propagated within the economy (hence "endogenous") by the beliefs of the agents who trade assets. The theory of RBE …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

are, according to the discount dividend model, annual earnings and, according to Q-theory, net worth. In December 2002 …

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …