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 …

This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the … period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as …

competitive counterpart. Profits and the firm's value can, however, be either increased or decreased. In the time … the competitive benchmark. In the continuous-time limit, while the pre-commitment equilibrium retains its basic discrete-time … structure, the time-consistent equilibrium tends to the limit of zero profits and hence zero firm's value. …

risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the …

CAPM including time-separable power utility and time-nonseparable Epstein-Zin utility. We also show why many of the …Surprisingly there are very few estimates of the equity risk premium period-by-period that satisfy a no … factors - and a new econometric methodology, we provide new estimates of the equity risk premium for the US and the UK based …

introducing costs of adjusting the stock of capital, corporate debt and risk-sharing labour contracts. We find the latter to be …

simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that …

the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we … time with real interest rates. …

The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a … bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be … that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show …

-linked bonds. Projections of share price uncertainty over a 30-year period show that the risk associated with such a long …