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 …

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 …

-off at the heart of the story. I modify the model to account for data uncertainty and find that doing so ameliorates the … existing problems. This suggests that the Fed's model uncertainty is largely overestimated by ignoring data uncertainty …

uncertainty surrounding the outlook. To this end, FOMC participants will now provide qualitative assessments of how they view the … degree of current uncertainty relative to that which prevailed on average in the past. This paper discusses a method for … gauging the average magnitude of historical uncertainty using information on the predictive accuracy of a number of private …