We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

and 2) The premium for holding equity, over a safe government bond, is large. The equity premium has two parts; a risk … savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the …