reformulation of risk reward concepts in these terms. It is shown the exponential variation replaces the mean as a reward concept …. Risk is measured by the shaves and add-ons implicit in the bid and ask prices of two price economies. An analysis of … markets reveals that these two sided risk measures significantly impact rewards in the markets for stocks, stock spreads, and …

disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data …

capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor …, which we call "displacement risk.'' This risk helps explain several empirical patterns, including the existence of the … growth-value factor in returns, the value premium, and the high equity premium. We assess the magnitude of displacement risk …

both the level and the slope of the yield curve. Moreover, time-variations in liquidation risk are shown to help explain …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

asset allocation. We find that all three regulatory changes significantly impact risk premia, with impacts differing across …

Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …

.g., Profitability and Investment) perform particularly well when traditional portfolios (e.g., 60/40 or risk parity portfolios) exhibit …