This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks covary more with this … time-varying price of risk than value stocks, which covary more with shocks to cash flows. When the model is calibrated to …

What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with … to the riskfree rate alone. Some simple numerical examples are given. Implications are noted for discounting long …

adjusting for risk. The traditional actuarial approach - the approach currently used by the Social Security Administration in … generating its most widely cited numbers - ignores risk and instead simply discounts "expected" future flows back to the present … using a risk-free rate. If benefits are risky and this risk is priced by the market, then actuarial estimates will differ …

with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because …

This paper develops a rule for calculating a discount rate to value risky projects. The rule assumes that asset risk …

Uncertainty is a ubiquitous concern emphasized by policymakers. We study how uncertainty affects decision-making by the … Federal Open Market Committee (FOMC). We distinguish between the notion of Fed-managed uncertainty vis-a-vis uncertainty that …-managed uncertainty introduces a wedge between the standard Taylor-type policy rule and the optimal decision. Using private Fed …

In this paper we study the neoclassical growth model with idiosyncratic income risk and aggregate risk in which risk … pay off depending on both idiosyncratic and aggregate risk, but limited commitment rules out that households sell these … conditions under which it has lower/higher risk premia than the corresponding representative agent version of the model …

that higher demand uncertainty lowers capacity utilization, especially for high-markup firms. We test these predictions … using data that contain firm-specific, forward-looking measures of uncertainty. Firms in the top of the uncertainty …

of location-specific property risk data, home buyers can greatly benefit from acquiring knowledge about these risks. To … providing home-specific flood risk information on the behavior of home buyers in terms of their search, bidding, and purchasing … decisions. Redfin randomly assigned 17.5 million users to receive information detailing the flood risk associated with the …