Idiosyncratic risk and the equity premium

DOI10.1016/J.JMATECO.2024.103014MaRDI QIDQ6596161zbMATH OpenFDO

Authors Andrés Carvajal, Hang Zhou

Publication date 2 September 2024

Published in Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

idiosyncratic riskhigher-order risk aversionequity premium

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
• Consumption-based asset pricing with higher cumulants
• Equilibrium asset prices with undiversifiable labor income risk
• New results for additive and multiplicative risk apportionment
• Rare disasters and asset markets in the twentieth century
• Risk-aversion, prudence and temperance
• TESTING THE CONSUMPTION CAPM WITH HEAVY-TAILED PRICING ERRORS
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

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