consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross …

The analytic method of Chen, Cosimano, and Himonas (CCH 2009) is extended to prove that the continuous time version of … the long run risk model of Bansal and Yaron (2004) has an analytic solution. The long run risk model is dependent on the … the stationary mean of the long run risk variable. The radius of convergence for this power series is determined to be at …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility … their time series are obtained from traded option prices. It is found that implied risk aversion exhibits a smiling pattern … model completed by liquidly traded options. Empirical market price of orthogonal risk and risk aversion surfaces as well as …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …

index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that … the extracted risk premium significantly predicts future stock returns …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

time change leads to predictability of the endowment streams and therefore to time-variation in financial prices and risk …We develop a discrete-time real endowment economy featuring Epstein-Zin recursive utility and a Levy time …-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium …