In the past twenty years, measures of economic uncertainty have been developed that are either purely market price-based, structural model-based using data on real fundamentals and asset prices, text-based, or survey-based. We compare the performance of these uncertainty measures in forecasting...

We provide robust evidence that the price of analysts' disagreement risk in the cross-section of stock returns changes sign over time; it's positive (negative) in periods of high (low) disagreement.We construct a general equilibrium model in which analysts have heterogeneous beliefs about...

In the past 20 years, measures of economic uncertainty have been developed that are purely market price based; structural model based, using data on real fundamentals and asset prices; text based; or survey based. We compare the performance of these uncertainty measures in forecasting three real...