(CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can … augmented with time-varying uncertainty accounts for both the value premium and the empirical failure of the CAPM. This study …

This paper proposes a regime-switching asset pricing equilibrium model where volatility and the intensity of a rare … multifrequencies) dynamics. Using monthly returns from 1927 to 2011, I estimate the joint evolution of volatility and the intensity of … aversion as well as excessive volatility of market returns and predictability of long-horizon returns through price to dividend …

I propose an investment-based asset pricing model augmented with intangible capital and transient volatility shock … volatility shock on output. Physical-capital-intensive value firms are thus more exposed to volatility shock and require more … premium. Moreover, the expected return of value firms surges conditionally upon a temporary volatility shock. As a result, the …

predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

indicate a significant return premium for the information shock strategy. Specifically, the return premium associated with the … zero-investment information shock portfolios is 72 bps. We further document a significant predictive relationship between … associated with the information shock strategy are stronger after the BISTECH trading system, which enabled heterogeneity across …