-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the …

We propose a new predictor of real economic activity (REA), namely the representative investor's implied relative risk … increases as risk averse investors enter the market, leading to a decrease in market risk premium thus predicting a REA …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related … the U.S. economy can explain the documented negative relation between risk aversion and future economic growth. …

discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

significantly influence consumption dynamics. Our estimates of the indexes of relative risk aversion and relative prudence, as well …