associated with higher risk and lower risk-adjusted profits. These results suggest little obvious diversification benefit from …

dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces …

We decompose the time series of equity market risk into short- and long-run volatility components. Both components have … negative and highly significant prices of risk in the cross section of equity returns. A three-factor model with the market … captures market skewness risk, while the long-run component captures business cycle risk. Furthermore, short-run volatility is …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from …

The moral hazard problem associated with deposit insurance generates the potential for excessive risk taking on the … force mitigating that risk taking. We argue that in the presence of owner/manager agency problems, managerial risk aversion … may also offset the excessive risk taking that stems from moral hazard. Empirical models of bank risk tend to focus either …

-price terms of bank loans reflect observable components of borrower risk. As expected, riskier borrowers -- smaller borrowers … risk. This suggests that banks use both the price and non-price terms of loans as complements in dealing with borrower risk …

A measure of the credibility of monetary policy is the inflation risk premium in nominal yields. This will be time …. We estimate these risk premia using a generalized CIR affine-yield model, with one factor driving the real term structure … structure of the corresponding nominal yields. Our estimates show that the inflation risk premium contributes on average about …