valuation of disaster risk. Focusing on media discourse addresses the challenge of sample size even when major disasters are …

activity and outperform---especially at longer horizons---standard default-risk indicators. Much of the predictive power of … bond spreads for economic activity is embedded in securities issued by intermediate-risk rather than high-risk firms …

increase in total volatility led to a significant increase in market risk (beta) for the multinational firms relative to the … the relation between exchange rate variability and stock return volatility and by decomposing this relation into … components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange …

the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have … volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk …Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …