dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

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 …

, and attenuate the impacts of uncertainty shocks by raising the effective risk-bearing capacity of the informed investors. …

Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung … Risikos angesprochen. -- pricing kernels ; risk aversion ; risk neutral density …

-form expressions of welfare loss from shocks and epistemological uncertainty identify the interaction of (intertemporal) risk attitude …