distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock …'s expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the …

fund returns when the risk-free rate declines. A one-percent drop in interest rates is associated with a decrease in the … correlated with the risk-free rate and are independent of rate-driven changes in fund manager behavior …

geometric structure formed by probabilistic representations of market views and risk scenarios. Understanding this geometric … structure is fundamental to risk recycling (and to product design in general) …

the investment style and of the risk level of the funds. Therefore, we interpret these high markups as resulting from the …

mortgage crisis. In addition, we examine stock market co-movement and risk exposure for ten industries in eight emerging …/developing stock markets. We obtain four key empirical findings. First, at industry level, we confirm that the equity risk premium in … premia. Third, we show that some industries are more exposed to global risk factors than others. Fourth, given the increasing …

and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted …