propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads … to equilibration, and that, in equilibrium, risk premia are solely determined by covariance with aggregate risk. We …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our …

time-varying degree of integration that measures the importance of EU-wide risk relative to country-specific risk. The … model accounts for intra-European currency risk, time-varying quantities of risk and time-varying prices of risk. The …

the short run, prices tend to a local equilibrium where the risk-aversion weighted endowment portfolio (RAWE) is mean …-variance optimal. Relative to the market portfolio, RAWE overweighs securities that are held disproportionally by more risk averse … agents; RAWE puts less weight on securities that are held primarily by more risk tolerant agents. Throughout equilibration …

We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

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

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks co-vary more with this … time-varying price of risk than value stocks, which co-vary more with shocks to cash flows. When the model is calibrated to …