We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where … the prediction on prices, which do not vary with RA and are close to the risk‐neutral benchmark. This purported conflict … is due to traders, particularly the more risk‐averse ones, conveying into prices only part of their information. …

Changes in average FinaMetrica monthly risk tolerance scores were evaluated during the January 2007 to May 2012 time … influence average risk tolerance scores over time. A strong positive correlation (0.70) between average monthly risk tolerance … scores and the S&P 500 was noted. The standard deviation for average monthly risk tolerance scores was relatively low (1 …

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 …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

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 …

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

information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for … rational inattention that demand for information depends on its expected benefit. Moreover, the fact that perceived risk …

information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for …, respondents' updating about their personal unemployment risk suggests that households are imperfectly informed about their …