In this paper we investigate how volatility shocks influence investors' perceptions about a stock's risk, its future … shocks to increase risk similarly, while students do not perceive upwardlytrending shocks to increase the riskiness of the …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … equity indices are positively linked with geopolitical risk (GPR), signifying their hedging capabilities against GPR shocks … prominent portfolio risk management and policy implications for investors, risk managers, and policymakers …

We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist …

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, then investors may not react … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …