stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

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 …

price volatility and "sentiment" fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two … overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

Average idiosyncratic volatility and firm idiosyncratic volatility increase with the number of listed firms. Average … industry idiosyncratic volatility increases with the number of listed firms in the industry. We ex-plain the relation between … idiosyncratic volatility and the number of listed firms through Schumpeterian creative destruction. We show that Schumpeterian …

macroeconomic states. Data-driven P-Tree models reveal that idiosyncratic volatility and earnings-to-price ratio interact to drive … cross-sectional return variations in U.S. equities; market volatility and inflation constitute the most critical regime … pricing individual stocks and test portfolios, while delivering transparent trading strategies and risk-adjusted investment …

to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal …, but are also the least risky. Returns and risk are both increasing in industry or geographic concentration. And while GP … deal selection, to seek risk-adjusted fund-level returns …

higher than justified by investors' own subsequent short-term return expectations. This excess volatility in forward … expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term …