This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns …. Based on a real options framework, we incorporate the learning-by-doing effect to analyze the irreversible investment … problem. In our investment decision framework, the timing of expansion is endogenous and results from a value …

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

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

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples … members only depend on the distribution of a return. In the second part of the paper we provide an overview of existing reward-risk …

is more important for investment-grade firms, which have relatively higher exposureto systematic variance risk. This … investment conditionsthan speculative-grade. Investment-grade firms basically hedge variance risk by delayinginvestment …We document that the variance risk premium in asset returns decreases firms' investments.We theoretically model the …