We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

prices, including the equity premia, risk-free rate and volatility puzzles …

, liquidity, and volatility. Improved risk premium measurement through machine learning simplifies the investigation into economic …