risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the 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. By calibration …

increase. Finally, the earnings announcement return is higher for firms with greater political risk, small firms, complex firms …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …

I study the effects of aversion to risk and ambiguity (uncertainty in the sense of Knight (1921)) on the value of the … negative news may lead to higher valuations of the stock market than idiosyncratic negative events. Aversion to risk and …, the skewness of stock returns is negative (positive) if risk aversion of the marginal investor is high (low) …

The paper investigates the relation between the risk preferences of traders and the information aggregation properties … to the full revelation of the state when traders are more risk-averse. The observed pattern of prices is close to the … risk-neutral benchmark, while individuals are risk averse both in a risk elicitation task and when estimating their risk …

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 …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …