heterogeneous and aggregate welfare gain/loss from increased market uncertainty …

crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the …

This work shows that the risk premium can be a mistaken measure of the reduction in utility caused by uncertainty since …

of potential loss. Also investigated is the influence of Knightian uncertainty on market behavior. Positive premia for … uncertainty are absent. However, and perhaps surprisingly, uncertainty significantly increases trading volume. An explanation …

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty …

uncertainty faced by investors regarding the fundamental value of an asset and exploiting the different response in prices that … such changes in uncertainty would generate through sentiments or risk premia. I then apply this framework to the S&P 500 … index from 1872 till 2019: the positive correlation found between movements in uncertainty and in prices (or, equivalently …

risk-free rate puzzle. Intuitively, the presence of (or an increase in) inflation uncertainty in an economy should … neglecting inflation uncertainty may result in an overestimation of real risk-free rate. We also study jointly the impact of …

Risk aversion and uncertainty are often both at play in market price determination, but it is empirically challenging … aversion and uncertainty inherent to the government bond markets in the euro area between 2007 and 2011. We particularly … uncertainty but raised risk aversion for all countries except Greece in a risk-pooling mechanism: this can therefore weaken the …