This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The … opportunities. The Large Fund Industry model derives market prices for risk and analyzes the resulting price distortions in … equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and …

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The … opportunities. The Large Fund Industry model derives market prices for risk and analyzes the resulting price distortions in … equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

. Such overvaluation may arise from risk sharing activities simply due to market incompleteness, and does not require any …

expected returns. The theory generates several new predictions about the cross section of expected stock returns, for which I …

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we … show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of … operational risk earned a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000. However …