uncertainty about real growth prospects and habit -- based risk version. In the US, high expected inflation has tended to … coincided with periods of heightened uncertainty about real economic growth and unusually high risk aversion, both of which …

continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with … standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to …

Price momentum strategies have historically generated high positive returns with little systematic risk. However, these … to the risk-free asset when the ex-ante probability of the turbulent state is high exhibits dramatically better …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …