dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the … facts about the predictability of excess returns, and their business-cycle dependence. We also test the risk … of excess returns than a risk-premium explanation …

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump 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 …

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment risk dominates at …

This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …