We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

market risk, and two typical event study approaches (the mean-adjusted-return approach and the market model approach). For … structural breaks in the data. Our results indicate that the event day return effect is partly justified by the risk and/or the … risk premium on that day …

markets via the discount rate effect, resulting in a higher risk premium. Our results are important for investors, corporate …

assumptions of risk neutral pricing. In several ways the numeraire portfolio is the “best” performing portfolio and cannot be …

In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put …

This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices … enhance risk-sharing between lenders and borrowers reduce the magnitude of boom-bust cycles in real estate prices. We also …