.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …

a simple extension of the long-run risk model …

place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …

Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market … of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside … risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

We introduce a simple, easy to implement instrument for jointly eliciting risk and ambiguity attitudes. Using this … significantly overstated when risk neutrality is assumed. This highlights the interplay between risk and ambiguity attitudes as well …

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The … long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the … 1990s. When we restrict the risk premiums to identify structural parameters, this results in larger average pricing errors …

investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix …