based on introducing stochastic idiosyncratic cash flow risk into an equity valuation model of firms with growth options …. Within our model, a firm's systematic risk depends on the delta of its growth option. The growth option's delta is lower when … idiosyncratic volatility rises, driving down the firm's systematic risk and hence its expected return - firms with higher …

, and investment measures. We also document similar effects for aggregate equity issuance. Consistent with theory, we find …

significant negative risk premium in the Fama French 25 size-momentum portfolios. Among the Fama French 25 portfolios formed on … findings suggest that EPU is an economically important risk factor for equities …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

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

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

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 …

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 …

The risk of securities class action litigation alters corporate savings and investment policy. Firms with greater … firms with high cash levels. The market value of cash is significantly lower for firms exposed to litigation risk. Corporate … investment decisions are also affected by litigation risk, as firms reduce capital expenditures in response. Our results are …

We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and … performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts …