risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework … asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component …

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 …

implicit in the Risk Premium Valuation Model (Hassett 2010) that the equity risk premium is a function of risk free rates …. Since 1960 the equity risk premium has been 1.9-2.48 times the risk free rate. The long term consistency of this … relationship with loss aversion coefficients associated with Prospect Theory (Kahneman and Tversky, 1979) suggest it as a solution …

collectively with risk. Independently existing ambiguity premium helps to explain why investors appear to underinvest in risky … assets and do not exploit the asymptotic arbitrage opportunity emerged from trading inertia where return volatility (risk) is … and consumption data yields a relative risk aversion coefficient of five, and attributes 23%, 41%, and 36% of the equity …

, with a zero risk-free rate, the implicit price of capital gains tax payments is zero. I provide conditions in stochastic … discount factor language when a capital gains tax has no effect on asset prices for the case of a zero risk-free rate. A … sufficient condition for price equality with a zero risk-fee rate is that agents consume the same in any state with and without …

markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

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