, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that …

technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …

asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion … market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets … can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

Unfunded fiscal shocks are a significant source of risk premia in Treasury markets when central banks and governments … decide to insulate taxpayers and expose bondholders' wealth to government funding needs. We illustrate this bond risk premium …

valuation of disaster risk. Focusing on media discourse addresses the challenge of sample size even when major disasters are …

traditional risk statistics. Aggregate research interest is highly correlated with stock size, and salient news and earnings …

investors could benefit from changing their allocation to PE. Plans invest in PE funds with higher average risk …-adjusted performance. This is mainly due to access to successful PE managers, not superior selection skill. Decomposing returns into risk …-compensation and "alpha", we find that some plans obtain higher PE returns by taking more risk without earning higher, and in some …