") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk … asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …

We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via …

credit-market conditions. That is, when our sentiment proxies indicate that credit risk is aggressively priced, this tends to …

We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The … difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside … variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor …

In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the … generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity …