Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business … cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results … from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during …

the uncertainty of subjects regarding others' rationality. We do so by comparing the price forecasts submitted by subjects … uncertainty about others' rationality plays a major role in causing substantial deviation of forecast prices from the fundamental …

risk management …

superior. The intuition is simple: if underlying technologies are not convex, then risk-sharing can lower expected utility. The … likelihood of a bankruptcy cascade, "contagion," and systemic risk …