We investigate the effects of wildfires on risk perceptions by quantifying the impact of severe wildfires on housing … between locations that vary in their perceived level of fire risk. The model allows us to infer the evolution of risk … analysis is based on a multi-dimensional characterization of the potential linkages between fire events and risk perceptions …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

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 …

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

We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility …

Following the textbook C-CAPM, the consumption risk of an asset is typically measured as the contemporaneous covariance … of the marginal utility of consumption and the return on that asset. When measured this way, consumption risk is too … central insight of the C-CAPM - that consumption risk determines returns - but take the model less literally by allowing the …