We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital … market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold …-sectional relation between average return and estimated market beta. We estimate that the market risk premium is at least five to six …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is …

classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are … significant illiquidity premiums within asset classes. Portfolio choice models incorporating illiquidity risk recommend only … modest holdings of illiquid assets. Investors should demand high risk premiums for investing in illiquid assets …

We develop a model in which investors have heterogeneous beliefs about both the mean and the risk of future signals and … the final stock payoff. As investors who perceive the lowest risk vary across different periods, the overall perception of … the market risk is reduced in an economy with dynamic trading, always reducing risk premium and increasing market …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with …. The latter encompass a risk whenever the market impact of traders subject to them is large enough, due to a fire …-sale phenomenon. Our aim is to provide conditions for the transformation of liquidation needs into liquidation risk, and to …