boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by …

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 …

funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different …

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

risk averse, asset markets large, and variance-mean ratios of asset returns high in fully revealing rational expectations …