volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion … exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We … constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. …

asset classes unrelated to standard price risk may influence portfolio shares. …

-run risk-free discount rates and long-run risk premia are low. We show how the estimated very long-run discount rates are …

We use a repeated survey of an Italian bank’s clients to test whether investors’ risk aversion increases following the … 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially …

price, equity risk premium, and volatility of stock returns; the term structure of interest rates; and the conditions … priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our … heterogeneous priors and heterogeneous preferences without restricting the risk aversion of the two agents to special values. We …

accounting for important features of bond return models such as time varying parameters and volatility dynamics. A three … expectations hypothesis. Importantly, we find that such gains in predictive accuracy translate into higher risk-adjusted portfolio …

more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …, and volatility risks, its performance presents a challenge to asset pricing models. …