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 …

markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. Our evidence is also inconsistent with bubble …

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …

sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …

investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …

intermediaries to lower expected returns and non-fundamental price fluctuations. In anticipation, risk-averse intermediaries trade … time-variation in the risk premium, Sharpe ratio and volatility even when risk aversion and the variance of fundamental … of fundamentals, the mechanism highlighted suggests fluctuations in the risk premium can be sub-optimal to the extent …