models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

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 …

We examine the asset pricing implications of regret theory. In our model, investors mentally represent a stock by the … distribution of its past returns and evaluate it following regret theory. Investors feel the sensation of regret if their … risk factors, return reversals, and other behavioral theories …

collectively with risk. Independently existing ambiguity premium helps to explain why investors appear to underinvest in risky … assets and do not exploit the asymptotic arbitrage opportunity emerged from trading inertia where return volatility (risk) is … and consumption data yields a relative risk aversion coefficient of five, and attributes 23%, 41%, and 36% of the equity …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

effect is different from existing limits of arbitrage explanations, such as idiosyncratic risk. The ambiguity premium is a … new source of the risk premium that is robust to the latest risk models …