We develop a structural econometric model to elicit household-specific expectations about future financial asset … returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk …. Our framework assumes that household portfolios are subject to short-selling constraints in stocks and bonds, and that …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

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 …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … managers to achieve better returns, but they could also result in excessive risk taking. While we find evidence that these … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …

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 …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … concerning firms' abnormal returns and firms' systematic risk. This can be justified because stock prices adjusted instantly to …