dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

characterization are bound to yield Bayesianly incorrect generalizations. In the Bayesian way of thinking, information risk impacts the …

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock …'s expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the …

. The same investors, however, might wish to resolve their uncertainty, although not risk, by just purchasing information …

-)cyclical equity premium. We calibrate the level of ambiguity aversion to match only the first moment of the risk-free rate in data … levels of risk aversion. We find that this simple modification of a Lucas-tree model accounts for a large part of the …

(counter-)cyclical equity premium. We calibrate the level of ambiguity aversion to match only the first moment of the risk … using moderate levels of risk aversion. We find that this simple modification of a Lucas-tree model accounts for a large …