Individuals' stock market participation depends on the risk–return trade-off they expect to achieve from investing. We argue that the expected economic benefits from investing are highly heterogeneous. To capture these benefits, we define the personal equity risk premium (PERP) as the...

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...

Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...

Robo-advisors provide investors with automated portfolio management services, and their growth is unprecedented. They performed less well during the COVID-19 pandemic than they had done during the non-crisis period. That less satisfactory performance was due to the fact that rare disasters are...

The retirement income showdown regards finding the most efficient approach for meeting retirement spending goals: obtaining mortality credits through risk pooling with an income annuity, or investing for upside growth through the stock risk premium. Analyzing the question involves understanding...

This paper analyzes how workers participating in a retirement plan through the TIAA-CREF system managed their investment portfolio risk by examining their premium and asset allocation decisions over the period 2005 to 2011. The results indicate that, on average, participants were well...

This paper investigates the role of loan contract terms in the performance of consumer credit. Taking advantage of a sample of accepted and rejected consumer loans from a Czech commercial bank, I estimate the elasticity of loan demand and find that borrowers with a high probability of default...

We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically...

This paper analyses the determinants of the natural rate of interest in a non-linear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that the real natural rate can be affected by sizable uncertainty premia, including premia...