-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The … higher if the more risk-averse agents are net sellers or if the asset supply expands over time …

We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The …

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky …

the default option and public insurance to affect 1) risk-taking, 2) borrowing, and 3) search effort. Our analysis …

policy uncertainty affects household consumption and stock prices. The model implies that the government should avoid policy …

that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this …Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as … borrowers accumulate risk-free bonds to hedge against them. Using a structural model, I estimate that this motive is an … decade despite consumption growth, solving a "post-Great Recession risk-free rate puzzle". It is also critical for the …