I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Purpose: In this study, we empirically demonstrate how the new variable of "cyclical consumption" can capture consumption risk and predict expected stock returns, which relationship is stronger and should be considered as the primary macro indicator for stock markets between KOSPI and KOSDAQ,...