hedge against uncertainty risk and earn lower risk premiums than value stocks. An investment-based asset pricing model …

fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty … is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify …

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield …