Defining bad news: Changes in return distribution that decrease risky asset demand

We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two asset portfolio problem to reduce demand for all risk--averse expected utility maximizing investors. We provide random variable characterizations of the shifts that reduce both demand and expected utility for all risk--averse investors and a random variable characterization of shifts in the payoff of the market portfolio that reduce the equilibrium price of the market portfolio and make all risk--investors worse off.