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 … from (1) the volatility in the firm's stock returns; (2) disagreement among securities analysts in their forecasts of the …

, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. …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 …

are estimated, GMM estimators are almost always used. We examine the validity of using likelihood based estimation in this … context by comparing the small sample properties of a Bayesian estimator to those of GMM. Our baseline studies estimators of a …

This paper develops a constant, data-coherent, error correction model for broad money demand (M3) in Greece. This model … contributes to a better understanding of the effects of monetary policy in Greece and of the portfolio consequences of financial …

Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in … large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show …

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 …