We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for … alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current … shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution …

We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for … alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current … shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution …

We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for … alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current … shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution …

between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

disagreements among investors about disaster risk. We show that such disagreements generate strong risk sharing motives, such that … just a small amount of optimists in the economy can significantly reduce the disaster risk premium. Our model highlights … the "latent" nature of disaster risk: the disaster risk premium will likely be low and smooth during normal times, but can …

Based on risk-value models we introduce a multi-period approach to the valuation of streams of risky cash flows. The … valuation is based on the (expected) value of the output's or input's magnitude and the risk of the output cash flow, as … captured by a risk measure. We derive three formulae for valuing single cash flows and utilize the principles of separate …

a stochastic growth and discount factors in determining risk-adjusted values. These methods are supported by …-based implications for the term structure of risk prices. As an illustration of the methods, I re-examine some recent preference based …