on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and … structural parameters of the aggregate consumption and dividend growth rate processes are unknown. With realistic calibration of … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with …

-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …

We decompose the standard consumption beta into two components that measure consumption risk in high and low economic … activity states. Recessionary consumption risk commands a positive and statistically significant compensation, while the market … price of expansionary consumption risk is not robust. The two-beta model explains well the cross-section of excess returns …

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 …

Changes in average FinaMetrica monthly risk tolerance scores were evaluated during the January 2007 to May 2012 time … influence average risk tolerance scores over time. A strong positive correlation (0.70) between average monthly risk tolerance … scores and the S&P 500 was noted. The standard deviation for average monthly risk tolerance scores was relatively low (1 …

count of the word “uncertainty” over the sum of the count of the word “uncertainty” and the count of the word “risk” in …

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

relationships among the economic, financial and political country risk ratings of the BRICS and relating those risk factors to their … examines the interrelationships among the national country financial risk ratings factors to discern transmission of the risk …. The results demonstrate that only the Chinese stock market is sensitive to all the factors. Financial risk ratings …