managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment …High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If … decisions from the perspective of well-diversified shareholders. We empirically document that when idiosyncratic risk rises …

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty …") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk … premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model …

We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the … effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived … for at least four consecutive years between 1982 and 1999. The results show that all three measures of uncertainty are …

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method … volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn … relate to a set of underlying macro-finance state variables. We also find that the extracted volatility risk premium helps …

We study the trend in household income uncertainty using a novel approach that measures income uncertainty as the … shocks. We find that household income uncertainty has risen significantly and persistently since the early 1970s. For example …, our measure of near-future uncertainty in total family non-capital income rose about 40 percent between 1971 and 2002 …

A consumption-based asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how … the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast …