pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

We decompose the standard consumption beta into two components that measure consumption risk in high and low economic … activity states. Recessionary consumption risk commands a positive and statistically significant compensation, while the market … price of expansionary consumption risk is not robust. The two-beta model explains well the cross-section of excess returns …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … ; free lunch with vanishing risk ; arbitrage ; transaction costs …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

execution. We then show that the VWAP strategy is the optimal execution strategy for a risk-neutral trader. Moreover, we examine … the case of a risk-averse trader and derive the first-order asymptotic expansion of the optimal strategy for a mean …

have dynamically inconsistent time and risk preferences. This framework accommodates, but is not limited to, the following … settings: (1) non-exponential discounting; (2) horizon dependent risk aversion; (3) current state dependent risk aversion. In …