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 …

-)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 …

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 …

in asset information risk due, in a biased belief equilibrium, to the proportion of informed investors deviating from …

, and attenuate the impacts of uncertainty shocks by raising the effective risk-bearing capacity of the informed investors. …