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 …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …

explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate … realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I …

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … implications. The risk premium for such shocks is superadditive, i.e. it is 2.5% larger than the sum of the risk premia for pure … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive …