Cuncertainty%u201D) and changes in risk aversion (%u201Crisk%u201D for short) in the determination of the term structure, equity … prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an … and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily …

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish … short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the … propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from …

structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model … also features a declining average term structure of dividend risk-premia if recessions are over-represented in a short …

idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk …, but less so than firm characteristics. Idiosyncratic risk falls as government stability and respect for the rule of law … improve. Idiosyncratic risk is positively related to stock market development but negatively related to bond market …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless … bills. This paper analyzes term premia and the risk premia in a general equilibrium model with catching up with the Joneses …

on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount … conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized …

puzzling from the perspective of simple structural macroeconomic models. We explore whether richer models of risk premiums …