-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions …

the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time …

, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and …

establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston … trend in idiosyncratic risk in any of the countries we examine …

The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The … variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of … the risk-neutral entropy and variance of the aggregate market return, refute the bulk of the extant consumption …

") 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 …