-expected utility which clearly distinguishes between risk preference and time preference. The leverage approach yields the first moment … Carlo simulations. Preferences are modeled by time-additive expected utility and, alternatively, by recursive non …-expected utility. The empirical results for the period 1960 to 1994 confirm those for the U.S. and favour the use of recursive non …

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

--cost portfolios that are based on firm characteristics from both individual firm excess returns and risk--adjusted excess returns. The …--cost portfolios extracted from cross--sectional regressions of risk--adjusted excess returns on firm characteristics do not have any …. This empirical finiding implies that individual firm risk--adjusted returns do not exhibit any statistically significant …