asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

This paper describes results from a new experiment studying determinants and effects of economic risk-taking. In each … higher are the returns but also the higher is the risk of a crash and a loss. This setup permits us to investigate how … transparency and incentive structures – two issues intensively debated in policy circles – affect risk taking and vulnerability to …

Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only … is consistent with investors’ actual perception of risk. Our method is presenting investors return distributions with … different risk characteristics for which they have to state their perceived risk and make investment decisions. Our results hint …

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 …

, simultaneously inferences in respect of each of rationality and efficiency of pricing of idiosyncratic risk. Using exactly the same … show pricing of idiosyncratic risk of all three sample stocks satisfy the rationality conditions. Whereas, however, risk … preference parameters of which native risk-return trade-offs for the three assets are representative deviate from global risk …

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical … uncertainty outperform their counterparts with the lowest change by up to 1% per month. The anomaly is not explained by other …