historical periods in which uncertainty and risk premia were elevated because of news shocks. …

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 …

The central ingredient of empirical asset pricing tests is the (expected) risk premium. However, heterogeneity in … expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk … between quantities of risk and compensation for risk and document a stronger link than previously documented …

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876 … of rare disasters models. Our macro risk estimates covary with asset prices and forecasts future stock returns, in line … with the prediction that macroeconomic tail risk drives the equity premium. A rare disaster model, calibrated from …

, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We … market risk premium in distressed firms; (ii) negative covariance generates low stock returns and negative alphas among those … firms; and (iii) firms with a lower distress risk premium endogenously choose higher leverage, so they are more likely to …

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 …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard … that have precise risk premia earns an OOS average monthly return of 3.61% (2.21%). In contrast, the conventional high … financial shocks. In the cross-section, the level and precision of risk premia are correlated, thus NN-based investments deliver …

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …