This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns …. Based on a real options framework, we incorporate the learning-by-doing effect to analyze the irreversible investment … problem. In our investment decision framework, the timing of expansion is endogenous and results from a value …

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade …. The risk-return tradeoffs associated with equity exposure, particularly for workers approaching retirement, underscore the … importance of full disclosure, realistic assessment of risk tolerance and participant behavior, and due consideration of income …

We provide a microeconomic analysis of the incentive and welfare effects of idiosyncratic return risk. While most of … the existing literature has focused on risky returns as an aggregate shock, we allow for correlation between returns and … rate separates savers from borrowers. At the intensive margin, we identify restrictions on the agent's risk preferences for …

returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk … financial investment decisions are taken conditional on real estate and business wealth. We derive an explicit solution for the … of the investors are relevant in shaping risk aversion and return expectations. In contrast, wealth, income, and past …

returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

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 …