valuation of disaster risk. Focusing on media discourse addresses the challenge of sample size even when major disasters are …

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex …-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives …. We also examine the relationship between our measure of macroeconomic uncertainty and trading activity in stock and bond …

stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal … different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …, we provide novel identification of risk dynamics by linking these changes to news about the virus and epidemiological …

We examine several measures of uncertainty to make five points. First, equity market traders and executives at … nonfinancial firms have shared similar assessments about one-year-ahead uncertainty since the pandemic struck. Both the one …-year VIX and our survey-based measure of firm-level uncertainty at a one-year forecast horizon doubled at the onset of the …