.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 …

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 …

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 quot;volatility,quot; quot;risk premium,quot; and quot;realquot; factor, contain important …

this relation is driven by a link between internal economic locus of control and a lower perception of the risk of …

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 …