, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset … pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …

uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our … estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in … the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than …

-varying asset risk assessments in accounting for what, on the basis of many earlier studies, appear to be time-varying differentials … risk premia are constant over time. Third, although for long-term debt the two statistical methods used here give sharply … standard representation of equity risk by a single normally distributed disturbance is overly restrictive …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

growth rates, or stochastic probability of disaster, asset pricing with stochastic risk premia or stochastic dividend growth …

the guarantee-extending parties to "walk away". I derive the optimal risk management rule in such a framework and show … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net … risk management rules, and can account for phenomena such as "flight to quality" …