power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out …

correlations with risk factors. We present two parsimonious alternatives to the HVZ model: the EP model based on persistence in … and risk factors. We recommend that future research use the RI model or the EP model to generate earnings forecasts …

correlations with risk factors. We present two parsimonious alternatives to the HVZ model: the EP model based on persistence in … and risk factors. We recommend that future research use the RI model or the EP model to generate earnings forecasts …

We propose a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book …-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk … directly measured from surveys and option prices is low. When perceived risk is high according to our measure, safe asset …

Risk concentration is a major outstanding explanation for crisis dynamics of asset prices and macroeconomic quantities … model, I illustrate how asset prices encode costs of risk concentration. These costs must be enormous to match risk premia … levels and variability. This finding is robust: auxiliary features that increase risk premia levels mitigate their dynamics …