and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and … is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock … exchange. Hence, investor should compensate for holding such risk factors in the portfolio. …

bubbles. We consider a setting where participants sorted according to their degree of risk aversion trade in experimental … asset markets. We show that risk sorting is able to explain bubbles partially: Markets with the most risk-tolerant traders … exhibit larger bubbles than markets with the most risk averse traders. In our study risk aversion does not correlate with …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. Our evidence is also inconsistent with bubble …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …