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 …

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 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 …

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 study a dynamic stochastic general equilibrium model in which agents are concerned about model uncertainty regarding … from climate change to damages is subject to uncertainty, and we use robust control theory techniques to study efficiency … dynamic optimal taxation. A small increase in the concern about model uncertainty can cause a significant drop in optimal …

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 …

Using a new-Keynesian model with endogenous capital accumulation, I show that uncertainty about fiscal policy can cause … monetary authority is not constrained by the ZLB. I study uncertainty about the level of government spending and uncertainty … about tax rates on consumption, wages, capital income, and investment. In my model, uncertainty about government spending …