Using a high-frequency dataset, we analyze the effects of risk-aversion and real-time macroeconomic variables on both conditional variances and stock-bond correlations in the Eurozone. We use a generalized DCCX model for correlations and a GARCHX model for variances in order to separate the...

We argue the earnings announcement premium is a measure of firm-specific uncertainty aversion. Our stylized model shows earnings announcements, as pure news events, are priced only if investors are uncertainty averse; further, the earnings announcement return is negatively correlated to future...