extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

-term horizon, by a behavioural view on the market and by a somewhat lower degree of risk aversion, whereas they are like other fund … the risk of momentum trading on short-term horizons and that the short-term oriented momentum traders are not in a …

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit … the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous … benchmark is used to derive efficient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

reflects market risk exposures. It is observed on invoking a law of large numbers applied to an infinite population of … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …

goals, his risk tolerance and maybe further restrictions. Formal portfolio selection models can support the allocation …

develop and calibrate a simple OLG model in which risk-averse households hold money and bonds to insure against risk. Central …

United Kingdom, Japan, and Australia, the authors find that a conditional CAPM that allows the price of risk to vary in … as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns … determine whether the seasonality can be explained using a conditional version of the capital asset pricing model (CAPM) that …