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 …

the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

Capital controls lower the variability of the exchange rate and reduce the risk premium as well as the domestic … interest rate. On the other hand, capital controls reduce the number of noise traders and, therefore, the risk-bearing capacity …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal … taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of … the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in …

structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

to examine the risk - return trade-off in the term structure of interest rates before and after the introduction of the …

Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy … Uncertainty. This paper shows that most of the observed volatility in financial markets is generated by the beliefs of the agents …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and …This paper uses Hansen and Jagannathan's (1991) volatility bounds to evaluate models with idiosyncratic consumption … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …