dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

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 and emphasizes its role as a long-run determinant of productivity, output, and income stability, and the likelihood of …

inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find …

market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures …