While much accounting information is idiosyncratic in nature, economy-wide factors such as accounting standards affect the quality of idiosyncratic accounting information of many firms simultaneously. We study these two features of accounting information by embedding a parsimonious, moral hazard problem into the framework of a multi-firm economy in which project choices are endogenous to accoun...

We investigate the conditional interest rate risk premium in Treasury bill futures returns. A one-factor model predicts that the premium depends on the conditional variance. An Intertemporal CAPM based two-factor model predicts that it also depends on conditional covariance with the equity premium. Univariate and bivariate Integrated GARCH-in-Mean models suggest that the premium relates positiv...

As documented in Fama and French (1992), small firms’ expected equity returns are usually larger than big firms.’ Notably, Fama and French (1995) attributed this return pattern, dubbed as size premium, to a notion that small firms are assigned a higher risk premium because they face greater risk of distress. However, “distress anomaly” papers including Campbell, Hilscher, and Szilagyi (2008) em...

in this thesis we predict asymmetric risk premium in bothvalue and growth stock portfolios. there are two competingapproaches to explain value premium: market over-reactionhypothesis based on which agents overstate future returns on growthstock, and rational market risk hypothesis that says value stocks areinherently riskier than growth stocks. rational market riskhypothesis has two different e...

This paper defines temporal risk aversion in the context of a simple choice framework: that of time varying utility of wealth. The attention is focused on a decision maker who acts as a buyer: temporal risk premium, instantaneous risk premium and time preference premium are defined.