Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

I find both U.S. and international evidence that aggregate corporate cash savings strongly negatively predict future … excess market returns. In the U.S. stock market, market timing based on aggregate cash savings yields annual returns 2 … that the time variation in risk premia arising from economic uncertainty at least in part drives the predictive power of …

This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using …-term component, consistent with the hypothesis that CID is a proxy for unemployment risk from sectoral shifts …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

-run decline since the 1870s, and that its trend is markedly different to that in the safe rate. As a consequence, the ex ante risk … premium exhibits large secular movements, and risk premia and safe rates are strongly negatively correlated. Our findings … suggest that time varying risk appetite is a key driver of expected risky and safe returns – not only in the short, but also …