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 …

Previous studies on the cross-sectional market moments' risk premia find significantly negative risk premia for the … market volatility and the market skewness risks and a positive premium for the market kurtosis risk. However, a significantly … negative price of risk for the market skewness and a positive price of risk for the market kurtosis move against the ICAPM …

returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk … of the investors are relevant in shaping risk aversion and return expectations. In contrast, wealth, income, and past … market performance have limited impacts on expectations and risk aversion …