theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset …The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … empirical support for the rare disaster hypothesis, and help restore the nexus between real economy and financial markets …

in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … thus provide empirical support for the rare disaster hypothesis, and help reconcile the nexus between real economy and …

in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … for the rare disaster hypothesis, and help reconcile the nexus between real economy and financial markets implied by the …

alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster … and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation. …

of these events. Using theory and simulations we study the implications of the imminent threat of climate change on … risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …