). Section A derives the Euler equations that serve as the asset pricingmoment conditions in the disaster risk model and the long …-run risk model. Section B considersthe long-run risk model and shows that the Gaussian limit is an innocuous assumption …. SectionC provides derivations for the time-varying disaster risk model in the empirical application of themain text and some …

asset pricing models, including long-run risk models, disaster risk models, and multifactor linear asset pricing models …

compensation for holding stocks with high downside risk. We show that the cross-section of stock returns reflects a premium for … downside risk. Stocks that covary strongly with the market when the market declines have high average returns. We estimate that …Agents who place greater weight on the risk of downside losses than they are attach to upside gains demand greater …

demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the …If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to … asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets …

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the … market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are …

relative risk aversion. This last result occurs because taste shocks reproduce the large observed equity premium by shifting … weight away from consumption risk in favor to taste risk …

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican …

hypothesis that as investors become overconfident, they underestimate risk and thereby trade in riskier stocks. … traders tend to title their investment toward smaller-cap and growth stocks, consistent with the prediction of overconfident …